tsDyn: BBCTest – R documentation

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BBCTest

Test of unit root against SETAR alternative

Test of unit root against a stationnary three regime SETAR alternative

BBCTest(x, m, series, testStat = c("LR", "Wald", "LM"), trim = 0.1,
  grid = c("minPerc", "minObs"))

`x`	time series
`m`	Number of lags under the alternative
`series`	time series name (optional)
`testStat`	Type of test statistic to use
`trim`	trimming parameter indicating the minimal percentage of observations in each regime
`grid`	Whether a minimal number of percentage or observations should be imposed. See details

TODO

A object of class "BBC2004Test" containing:

-The value of the sup Test

-The version of test used (either Wald, LM or LR).

Matthieu Stigler

BBCTest(lynx, m=3, test="Wald", grid="minPerc")

Nonlinear Time Series Models with Regime Switching

v10-1.2

GPL (>= 2)

Authors

Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut], Ho Tsung-wu [cre]

Initial release

2020-02-04