ralslm¶
Purpose¶
Computes the LM unit root test with the RALS technique for non-normal errors.
Format¶
-
{ rals_tau, rho2, cv } =
ralslm(y[, pmax, ic])¶ - Parameters
y (Nx1 matrix) – Time series data to be tested.
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
rals_tau (Scalar) – The tau statistic based on RALS procedure and LM test.
rho2 (Scalar) – The estimated rho square.
cv (Vector) – 1%, 5%, and 10% critical values for the estimated rho2
Examples¶
library tspdlib;
// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/TSe.dat");
// With constant
model = 1;
{ rals_tau, rho2, cv } = RALSLM(y, model);