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¶
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);