fourier_gls ============================================== Purpose ---------------- Computes the local GLS unit root test with flexible Fourier form structural breaks. Format ---------------- .. function:: { GLSk, f, p, cv } = fourier_gls(y, model[, pmax, fmax, ic]) :noindexentry: :param y: Dependent variable. :type y: Nx1 matrix :param model: Model to be implemented. =========== ==================== 1 Constant 2 Constant and trend =========== ==================== :type model: Scalar :param pmax: Optional, maximum number of lags for :math:`\Delta y`; 0=no lag. Default = 8. :type pmax: Scalar :param fmax: Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5. :type fmax: Scalar :param ic: Optional, the information criterion used for choosing lags. Default = 3. =========== ======================== 1 Akaike. 2 Schwarz. 3 t-stat significance. =========== ======================== :type ic: Scalar :return GLSk: GLS(k) statistic. :rtype GLSk: Scalar :return f: Number of single frequency. :rtype f: Scalar :return p: number of lags selected by chosen information criterion :rtype p: Scalar :return cv: 1%, 5%, 10% critical values for the chosen model :rtype cv: Vector 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 { GLSstat, f, p, cv } = Fourier_GLS(y, model); Source ------ fourier_gls.src .. seealso:: Functions :func:`fourier_adf`, :func:`fourier_kpss`, :func:`fourier_kss`, :func:`fourier_lm`