KapShinTest {tsDyn}R Documentation

Test of unit root against SETAR alternative with

Description

Test of unit root against a stationnary 3 regime SETAR alternative with random walk in the inner regime

Usage

 KapShinTest(x, m=1, series, include = c("none","const", "trend", "both"), c=3, delta=0.5, points=NULL,minObsMid=10, trick=c("for", "apply", "mapply"), trace=FALSE)

Arguments

x time series
m Number of lags under the alternative
series time series name (optional)
include Whether data should be raw, de-menead or de-menead and de-trended
c Argument for the grid search. See details
delta Argument for the grid search. See details
points Points for the grid search. See details
minObsMid Minimal number of observations in the inner regime
trick type of internal function used
trace should additional infos be printed? (logical)

Details

This function is currently spurious.

Value

A object of class "KapShin2006Test" containing:

statistic The three (SupW, AvgW, ExpW) test statistics computed
case Whether the data was transformed, corresponds to input argument include
series The name of the series

Author(s)

Matthieu Stigler

See Also

BBCTest for a similar test. setarTest for a test with stationarity as a null.

Examples

KapShinTest(lynx, m=1, trace=FALSE, include="none", points=10)

[Package tsDyn version 0.7-1 Index]