qr_fourier_adf_bootstrap#

Purpose#

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

Format#

{ test_boot, cv_boot } = qr_fourier_adf_bootstrap(y, model, tau[, p, f, _Nboot])#

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.
_Nboot – Optional, number of iterations. Default = 1000.

Returns:

test_boot (Vector) – Bootstrapped ADF test statistic with smooth structural change for the given quantile.
cv_boot (Vector) – 1, 5, and 10 percent bootstrap critical values for the ADF test statistic with smooth structural change.

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
{ tn_boot, cv } = QR_Fourier_ADF_bootstrap(y, model, 0.7);

Source#

qr_fourier_adf.src

1	Constant.
2	Constant and trend.