adf_1br

Purpose

Computes the Augmented Dickey Fuller unit root test with one structural break.

Format

{ tstat, tb, lags, cv } = adf_1br(y, model[, pmax, ic, trimm])
Parameters
  • y (Nx1 matrix) – Time series data to be tested.

  • model (Scalar) –

    Model to be implemented.

    1

    Break in level.

    2

    Break in level and trend.

  • pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.

  • ic (Scalar) –

    Optional, the information criterion used for choosing lags. Default = 3.

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

  • trimm (Scalar) – Optional, trimming rate. Default = 0.10.

Returns
  • tstat (Scalar) – Minimum test statistic.

  • tb (Scalar) – Location of break.

  • lags (Scalar) – Number of lags selected by chosen information criterion.

  • cv (Vector) – 1%, 5%, and 10% critical values for adf_1br() \(\tau\)-stat..

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_1br(y, model);

Source

adf_1br.src

See also

Functions adf(), adf_2br()