fourier_adf

Purpose

Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks.

Format

{ ADFk, k, p, cv } = Fourier_ADF(y, model[, pmax, fmax, ic])
Parameters
  • y (Nx1 matrix) – Dependent variable.

  • model (Scalar) –

    Model to be implemented.

    1

    Constant

    2

    Constant and trend

  • pmax (Scalar) – Optional, maximum number of lags for \(\Delta y\); 0=no lag. Default = 8.

  • fmax (Scalar) – Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5.

  • ic (Scalar) –

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

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

Returns
  • ADF (Scalar) – ADF(k) statistic.

  • k (Scalar) – Number of single frequency.

  • p (Scalar) – number of lags selected by chosen information criterion

  • cv (Vector) – 1%, 5%, 10% critical values for the chosen model

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
{ ADFstat, f, p, cv } = Fourier_ADF(y, model);

Source

fourier_adf.src

See also

Functions coint_egranger()