kpss_1break

Purpose

Computes the KPSS stationary test with one structural break.

Format

{ kpss_stat, tb, lambda, cv } = KPSS_1break(y, model[, bwl, varm, trimm])
Parameters:
  • y (Nx1 matrix) – Time series data to be test.
  • model (Scalar) –

    Model to be implemented.

    1 Break in level.
    2 Break in level and trend.
  • bwl (Scalar) – Optional, bandwidth for the 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
  • trimm (Scalar) – Optional, trimming rate. Default = 0.10.
Returns:
  • kpss_stat (Scalar) – The KPSS test statistic.
  • tb (Scalar) – Location of break.
  • lambda (Scalar) – Break fraction (tb/T).
  • cv (Vector) – 1, 5, and 10 percent critical values for kpss_1break() statistic.

Examples

new;
cls;
library tspdlib;

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

// Break in level
model = 1;
{ KPSS, tb1, lambda, cv } = KPSS_1break(y, model);

// Break in level and trend
model = 2;
{ KPSS, tb1, lambda, cv } = KPSS_1break(y, model);

Source

kpss_1br.src

See also

Functions lmkpss(), kpss_2break()