BBCTest {tsDyn} | R Documentation |
Test of unit root against a stationnary three regime SETAR alternative
BBCTest(x, m, series, testStat=c("LR", "Wald", "LM"), trim=0.1, grid=c("minPerc", "minObs"))
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 |
TODO
A object of class "BBC2004Test" containing:
-The value of the sup Test
-The version of test used (either Wald, LM or LR).
Matthieu Stigler
setarTest
for a test with stationarity as a null.
BBCTest(lynx, m=3, test="Wald", grid="minPerc")