fourier_ADF

Purpose

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 – Optional, the information criterion used for choosing lags. Default = 3.
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(__FILE_DIR $+ "ts_examples.csv", "Y + date($Date, '%b-%y')");


// With constant
model = 1;

"Fourier ADF test (Enders & Lee, 2012)";
{ ADFstat, f, p, cv } = Fourier_ADF(y, model);

Source

fourier_adf.src

See also

Functions coint_egranger()