qr_kss¶
Purpose¶
Computes the quantile KSS unit root test.
Format¶
-
{ qr_kss_t, cv } =
qr_kss(y, model, tau[, p, _print])¶ 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 maximum number of lags for \(\Delta y\). Default = 8.
- _print (String) – Optional, print option “true” for printing results. Default = “true”.
Returns: - qr_kss_t (Scalar) – KSS tau-statistic
- cv (Vector) – 1, 5, and 10 percent critical values for KSS tau-stat based on response surfaces.
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
stat = qr_kss(y, model, tau);