FitAR (version 1.94)

UnitRootTest: Unit Root Test

Description

Unit root test. Test H0: rho=1 vs. H1: rho

Usage

UnitRootTest(z, method = c("MLE", "ExactMLE", "LS", "All"), statistic = c("Z", "T"), NumBoot = 1000, PValueMethod = c("DH", "ET"))

Arguments

z

time series

method

estimation methods

statistic

normalized rho or t-statistic

NumBoot

number of bootstrap iterations

PValueMethod

p-value can be estimated either as (k+1)/(N+1) as recommended by Davison and Hinkley (p. 148) or as k/N as in Efron and Tibsharini (p. 221, Algorithm 16.1 ).

Value

one-sided P-value

Details

Bootstrap unit root tests

References

Davison, A.C. and Hinkley, D.V. (1997). Bootstrap Methods and their Application. Cambridge.

Efron, B. and Tibshirani, R. (1993). An Introduction to the Bootstrap. Chapman/Hall.

Yu, H., Zhang, Y. and McLeod, A.I. (2009). Unit Root Bootstrap Tests with Exact Maximum Likelihood.

See Also

PP.test

Examples

## Not run: #takes about 10 seconds
# z<-cumsum(rnorm(100))
# UnitRootTest(z)
# ## End(Not run)