fourier_kpss¶
Purpose¶
KPSS stationarity test with flexible Fourier form structural breaks.
Format¶
-
{ KPSSk, k, cv } =
fourier_kpss
(y, model[, fmax, bwl, varm])¶ - Parameters:
y (Nx1 matrix) – Dependent variable.
model (Scalar) –
Model to be implemented.
1
Constant
2
Constant and trend
fmax (Scalar) – Optional, maximum number of single Fourier frequency (upper bound is 5). Default = 5.
bwl (Scalar) – Optional, bandwidth for spectral window. Default = round(4 * (T/100)^(2/9)).
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
- Returns:
KPSSk (Scalar) – KPSS(k) statistic.
p (Scalar) – number of lags selected by chosen information criterion
cv (Vector) – 1%, 5%, 10% critical values for the chosen model
Examples¶
new;
cls;
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
{ KPSS, k, cv } = Fourier_KPSS(y, model);
Source¶
fourier_kpss.src
See also
Functions fourier_adf()
, fourier_gls()
, fourier_lm()