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 tested.

  • 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% critical values for kpss_1break() statistic.

Examples

new;
cls;
library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y + date($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()