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);

Source

rals_lm.src

See also

Functions lm(),:func:lm_1break, lm_2break()