fourier_adf¶

Purpose¶

Computes the Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks.

Format¶

{ FADF, f, p, cv } = Fourier_ADF(y, model[, pmax, fmax, ic])¶

Parameters:

y (Nx1 matrix) – Dependent variable.
model (Scalar) –
Model to be implemented.

1 Constant

2 Constant and trend
pmax (Scalar) – Optional, maximum number of lags for \(\Delta y\); 0=no lag. Default = 8.
fmax (Scalar) – Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5.
ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.

1 Akaike.

2 Schwarz.

3 t-stat significance.

Returns:

FADF (Scalar) – FADF(k) statistic.
f (Scalar) – Number of single frequency.
p (Scalar) – number of lags selected by chosen information criterion
cv (Vector) – 1%, 5%, 10% critical values for the chosen model

Examples¶

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($Date, '%b-%y')");


// With constant
model = 1;

// Call test
{ FADF, f, p, cv } = Fourier_ADF(y, model);

Source¶

fourier_adf.src