adf_1break ============================================== Purpose ---------------- Computes the Augmented Dickey-Fuller unit root test with one structural break. Format ---------------- .. function:: { tstat, tb, lags, cv } = adf_1break(y, model [, pmax, ic, trimm]) :noindexentry: :param y: Time series data to be tested. :type y: Nx1 matrix :param model: Model to be implemented. =========== ============== 1 Break in level. 2 Break in level and trend. =========== ============== :type model: Scalar :param pmax: Optional, the maximum number of lags for :math:`\Delta y`. Default = 8. :type pmax: Scalar :param ic: Optional, the information criterion used for choosing lags. Default = 3. =========== ============== 1 Akaike. 2 Schwarz. 3 t-stat significance. =========== ============== :type ic: Scalar :param trimm: Optional, trimming rate. Default = 0.10. :type trimm: Scalar :return tstat: Minimum test statistic. :rtype tstat: Scalar :return tb: Location of break. :rtype tb: Scalar :return lags: Number of lags selected by chosen information criterion. :rtype lags: Scalar :return cv: 1%, 5%, and 10% critical values for :func:`adf_1break` :math:`\tau`-stat.. :rtype cv: Vector 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; // Run test { ADF_min, tb1, lags, cv } = adf_1break(y, model); Source ------ adf_1br.src .. seealso:: Functions :func:`adf`, :func:`adf_2breaks`