qr_kss#

Purpose#

Computes the quantile KSS unit root test.

Format#

{ qr_kss_t, cv } = qr_kss(y, model, tau[, p, _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 maximum number of lags for \(\Delta y\). Default = 8.
_print (String) – Optional, print option “true” for printing results. Default = “true”.

Returns:

qr_kss_t (Scalar) – KSS tau-statistic
cv (Vector) – 1, 5, and 10 percent critical values for KSS tau-stat based on response surfaces.

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
stat = qr_kss(y, model, tau);

Source#

qr_kss.src

1	Constant.
2	Constant and trend.