BBCTest

Test of unit root against a stationnary three regime SETAR alternative

Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

Matthieu Stigler

tsDyn

Nonlinear Time Series Models with Regime Switching

Antonio Fabio Di Narzo

Jose Luis Aznarte

BBCTest function

<dl><dt>x</dt>
<dd>time series</dd>
<dt>m</dt>
<dd>Number of lags under the alternative</dd>
<dt>series</dt>
<dd>time series name (optional)</dd>
<dt>testStat</dt>
<dd>Type of test statistic to use</dd>
<dt>trim</dt>
<dd>trimming parameter indicating the minimal percentage of
observations in each regime</dd>
<dt>grid</dt>
<dd>Whether a minimal number of percentage or observations should be
imposed. See details</dd></dl>

Arguments

Author

Test of unit root against SETAR alternative — BBCTest

<dl>

<dt>x</dt>
<dd>time series</dd>


<dt>m</dt>
<dd>Number of lags under the alternative</dd>


<dt>series</dt>
<dd>time series name (optional)</dd>


<dt>testStat</dt>
<dd>Type of test statistic to use</dd>


<dt>trim</dt>
<dd>trimming parameter indicating the minimal percentage of
observations in each regime</dd>


<dt>grid</dt>
<dd>Whether a minimal number of percentage or observations should be
imposed. See details</dd>

</dl>

BBCTest: Test of unit root against SETAR alternative

Description

Usage

Value

Arguments

Author

Details

References

See Also

Examples