fourier_kpss

Purpose

Computes the KPSS stationarity test with flexible Fourier form structural breaks.

Format

{ KPSSk, f, 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 (Scalar) –

  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.

• f (Scalar) – Number of single frequency.

• 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
{ KPSSk, f, cv } = Fourier_KPSS(y, model);

Source

fourier_kpss.src

See also

Functions fourier_adf(), fourier_gls(), fourier_lm()