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);