kpss_2break

Purpose

Computes the KPSS stationary test with two structural breaks.

Format

{ kpss_stat, tb1, tb2, cv } = KPSS_2breaks(y, model[, bwl, varm, trimm])

Parameters:

• y (Nx1 matrix) – Time series data to be tested.

• model (Scalar) –

  Model to be implemented.

  1	Level shift without trend.
  2	Level shift with trend.
  3	Trend shift.
  4	Level and trend shift.

• 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 with two breaks.

• tb1 (Scalar) – Location of the first break.

• tb2 (Scalar) – Location of the second break.

• cv (Vector) – 1%, 5%, and 10% critical values for kpss_2break() 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, tb2, cv } = KPSS_2breaks(y, model);

Source

kpss_1br.src

See also

Functions lmkpss(), kpss_1break()