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.
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(__FILE_DIR $+ "ts_examples.csv", "Y + date($Date, '%b-%y')");


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

Source

fourier_lm.src

See also

Functions fourier_adf, :func:`fourier_gls(), fourier_kpss()