tsDyn (version 0.7-60)

BBCTest: 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

Value

• A object of class "BBC2004Test" containing:

  -The value of the sup Test

  -The version of test used (either Wald, LM or LR).

Details

TODO

See Also

setarTest for a test with stationarity as a null.

Examples

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