HEGY.rectest {uroot} | R Documentation |
This function computes the augmented Dickey-Fuller statistic recursively along subsamples of the original data.
HEGY.rectest (wts, type="moving", nsub=72, itsd, selectlags=list(mode="signf", Pmax=NULL), trace=list(remain=1, plot=0, elaps=1))
wts |
a univariate time series object. |
type |
a character string indicating how subsamples are selected. See details. |
nsub |
the number of observations in each subsample. |
itsd |
deterministic components to include in the model. Three types of regressors can be
included: regular deterministic components, seasonal deterministic components, and any regressor
variable previously defined by the user.
This argument must be a vector object with the following elements: c(0,0,c(0)) ,
if the first and/or second elements are set equal to 1, it indicates that an intercept, and/or linear
trend, respectively, are included. The third element is a vector indicating which seasonal
dummies should be included. If no seasonal dummies are desired it must be set equal to zero. For
example, regular=c(1,0,c(1,2,3)) would include an intercept, no trend, and the first three
seasonal dummies. |
selectlags |
lag selection method. A list object indicating the method to select lags, mode ,
and the maximum lag considered. Available methods are "aic" , "bic" , and "signf" .
See details. Pmax is a numeric object indicating the maximum lag order. By default, the maximum
number of lags considered is round(10*log10(n)), where n is the number of observations. |
trace |
a list object indicating if a trace of the iteration progress should be printed. Three
levels of information can be printed: remain , the percentage of the whole procedure that has
been completed; plot , a plot of the computed statistics; and elaps , how much time the
whole procedure has consumed. |
The auxiliar regression is defined as,
delta y_t = rho y_{t-1} + ε_t,
where delta is the first order operator. Hence, under the null hypothesis rho=0 and the long run unit root 1 exists.
Three types of subsamples are considered: "backw", the statistic is computed for the last nsub
observations and then one year backwards is added until the beginning of the sample; "forw", the
statistic is computed for the first nsub
observations and then one year forwards is added until
the end of the sample; "moving", the statistic is computed over moving subsamples of length nsub
.
Available methods are the following. "aic"
and "bic"
follows a top-down strategy based on
the Akaike's and Schwarz's information criteria, and "signf"
removes the non-significant lags at
the 10% level of significance until all the selected lags are significant. By default, the maximum
number of lags considered is round(10*log10(n)), where n is the number of observations.
It is also possible to set the argument selectlags
equals to a vector, mode=c(1,3,4)
, then
those lags are directly included in the auxiliar regression and Pmax
is ignored.
Regressor variables are not considered in this procedure.
An object of class hegyrecst-class
.
Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1071.
W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh Wiley, New York.
## HEGY recursive test with constant, trend and seasonal dummies. data(AirPassengers) lairp <- log(AirPassengers) hegy.out1 <- HEGY.rectest(wts=lairp, type="backw", nsub=108, itsd=c(1,1,c(1:11)), selectlags=list(mode="signf", Pmax=NULL), trace=list(remain=1, plot=1, elaps=1)) show(hegy.out1) plot(hegy.out1)