BBCTest {tsDyn}R Documentation

Test of unit root against SETAR alternative

Description

Test of unit root against a stationnary three regime SETAR alternative

Usage

BBCTest(x, m, series, testStat=c("LR", "Wald", "LM"), trim=0.1, grid=c("minPerc", "minObs"))

Arguments

x time series
m Number of lags under the alternative
series time series name (optional)
testStat Type of test statistic to use
trim trimming parameter indicating the minimal percentage of observations in each regime
grid Whether a minimal number of percentage or observations should be imposed. See details

Details

TODO

Value

A object of class "BBC2004Test" containing:
-The value of the sup Test
-The version of test used (either Wald, LM or LR).

Author(s)

Matthieu Stigler

See Also

setarTest for a test with stationarity as a null.

Examples

BBCTest(lynx, m=3, test="Wald", grid="minPerc")

[Package tsDyn version 0.7-1 Index]