fourier_lm

Purpose

LM unit root test with flexible Fourier form structural breaks.

Format

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

  • 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.

1

Akaike.

2

Schwarz.

3

t-stat significance.

Returns
  • lmk (Scalar) – LM(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

new;
cls;
library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($Date, '%b-%y')");

// Call test
{ LMstat, f, p, cv} = Fourier_LM(y);

Source

fourier_lm.src