qr_fourier_kss_bootstrap¶
Purpose¶
Computes bootstrap critical values for the quantile KSS unit root test with flexible Fourier form structural breaks.
Format¶
-
{ test_boot, cv } =
qr_fourier_kss_bootstrap(y, model, tau[, p, f, _Nboot])¶ - Parameters:
y (Nx1 matrix) – Time series data to be tested.
model (Scalar) –
Model to be implemented.
1
Constant.
2
Constant and trend.
tau (Scalar) – The quantile (\(0 \lt \tau \lt 1\)).
p (Scalar) – Optional, the number of lags used for \(\Delta y\). Default = 8.
f (Scalar) – Optional, the Fourier frequency. Default = 3.
_Nboot – Optional, number of iterations. Default = 1000.
- Returns:
test_boot (Vector) – Bootstrapped ADF test statistic with smooth structural change for the given quantile.
cv (Vector) – 1, 5, and 10 percent bootstrap critical values for the ADF test statistic with smooth structural change.
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/TSe.dat");
// Run model with constant
model = 1;
// Test for 70% percentile
tau = 0.7;
// Run test
{ tn_boot, cv } = qr_fourier_kss_bootstrap(y, model, 0.7);
Source¶
qr_fourier_KSS.src
See also
Functions qr_KSS(), qr_fourier_kss(), qr_adf(), qr_fourier_adf()