fourier_wadf#

Purpose#

Computes the wavelet Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks.

Format#

{ FWADF, f, p } = Fourier_WADF(y, model[, pmax, fmax, ic])#
Parameters:
  • y (Nx1 matrix) – Dependent variable.

  • model (Scalar) –

    Model to be implemented.

    1

    Constant

    2

    Constant and trend

  • 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 (Scalar) –

    Optional, the information criterion used for choosing lags. Default = 3.

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance.

Returns:
  • FWADF (Scalar) – FWADF(k) statistic.

  • f (Scalar) – Number of single frequency.

  • p (Scalar) – number of lags selected by chosen information criterion

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
{ FWADF, f, p } = Fourier_WADF(y, model);

Source#

fourier_wadf.src