kpss_2break¶
Purpose¶
Computes the KPSS stationary test with two structural breaks.
Format¶
-
{ kpss_stat, tb1, tb2, cv } =
KPSS_2breaks(y, model[, bwl, varm, trimm])¶ Parameters: - y (Nx1 matrix) – Time series data to be tested.
- model (Scalar) –
Model to be implemented.
1 Level shift without trend. 2 Level shift with trend. 3 Trend shift. 4 Level and trend shift. - bwl (Scalar) – Optional, bandwidth for the 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 - trimm (Scalar) – Optional, trimming rate. Default = 0.10.
Returns: - kpss_stat (Scalar) – The KPSS test statistic with two breaks.
- tb1 (Scalar) – Location of the first break.
- tb2 (Scalar) – Location of the second break.
- cv (Vector) – 1%, 5%, and 10% critical values for
kpss_2break()statistic.
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($Date, '%b-%y')");
// Break in level
model = 1;
{ KPSS, tb1, tb2, cv } = KPSS_2breaks(y, model);