quantile_adf

Purpose

Computes the quantile Augmented Dickey Fuller unit root test.

Format

{ tstat, lags, cv } = quantile_adf(y, model, tau[, pmax, ic])
Parameters
  • y (Nx1 matrix) – Time series data to be tested.

  • model (Scalar) –

    Model to be implemented.

    1

    Constant.

    2

    Constant and trend.

  • tau – The quantile (0.1,…,1)

  • pmax (Scalar) – Optional, the maximum number of lags for \(\Delta y\). Default = 8.

  • ic (Scalar) –

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

    1

    Akaike.

    1

    Schwarz.

    2

    t-stat significance.

Returns

qr_tstat (Scalar) – Quantile, Dickey Fuller test statistic.

Examples

new;
cls;
library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/TSe.dat");

// Run model with constant
model = 1;

// Test for 70% percentile
tau = 0.7;

// Run test
stat = quantileADF(y, model, tau);

Source

qr_adf.src

See also

Functions adf(), adf_1br(), adf_2br()