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

1	Constant
2	Constant and trend