qr_fourier_adf#

Purpose#

Computes the quantile Augmented Dickey-Fuller unit root test with flexible Fourier form structural breaks.

Format#

qr_f_adf = qr_fourier_adf(y, model, tau[, p, f, _print])#

Parameters:

y (Nx1 matrix) – Time series data to be tested.
model (Scalar) –
Model to be implemented.

1

Constant.

2

Constant and trend.
tau (Scalar) – The quantile (\(0 \lt \tau \lt 1\)).
p (Scalar) – Optional, the number of lags used for \(\Delta y\). Default = 8.
f (Scalar) – Optional, the Fourier frequency. Default = 3.
_print (String) – Optional, print option “true” for printing results. Default = “true”.

Returns:

qr_f_adf (Scalar) – Quantile, Fourier ADF test statistic.

Examples#

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
qr_adf_stat = qr_fourier_adf(y, model, 0.7);

Source#

qr_fourier_adf.src

1	Constant.
2	Constant and trend.