fourier_kpss¶

Purpose¶

Computes the KPSS stationarity test with flexible Fourier form structural breaks.

Format¶

{ KPSSk, f, cv } = fourier_kpss(y, model[, fmax, bwl, varm])¶

Parameters:

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

1 Constant

2 Constant and trend
fmax (Scalar) – Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5.
bwl (Scalar) – Optional, bandwidth for spectral window. Default = round(4 * (T/100)^(2/9)).
varm (Scalar) –
Optional, long-run consistent variance estimation method. Default = 1.

1 iid

2 Bartlett

3 Quadratic Spectral (QS)

4 SPC with Bartlett (Sul, Phillips & Choi, 2005)

5 SPC with QS

6 Kurozumi with Bartlett

7 Kurozumi with QS

Returns:

KPSSk (Scalar) – KPSS(k) statistic.
f (Scalar) – Number of single frequency.
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
{ KPSSk, f, cv } = Fourier_KPSS(y, model);

Source¶

fourier_kpss.src