kpss_1break ============================================== Purpose ---------------- Computes the KPSS stationary test with one structural break. Format ---------------- .. function:: { kpss_stat, tb, lambda, cv } = KPSS_1break(y, model[, bwl, varm, 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 bwl: Optional, bandwidth for the spectral window. Default = round(4 * (T/100)^(2/9)). :type bwl: Scalar :param varm: 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 =========== ===================================================== :type varm: Scalar :param trimm: Optional, trimming rate. Default = 0.10. :type trimm: Scalar :return kpss_stat: The KPSS test statistic. :rtype kpss_stat: Scalar :return tb: Location of break. :rtype tb: Scalar :return lambda: Break fraction (tb/T). :rtype lambda: Scalar :return cv: 1%, 5%, and 10% critical values for :func:`kpss_1break` statistic. :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; { KPSS, tb1, lambda, cv } = KPSS_1break(y, model); Source ------ kpss_1br.src .. seealso:: Functions :func:`lmkpss`, :func:`kpss_2breaks`