Last data update: 2014.03.03
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R: Test of unit root against SETAR alternative
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
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m |
Number of lags under the alternative
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series |
time series name (optional)
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testStat |
Type of test statistic to use
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trim |
trimming parameter indicating the minimal percentage of
observations in each regime
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grid |
Whether a minimal number of percentage or observations should be
imposed. See details
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Details
TODO
Value
A object of class "BBC2004Test" containing:
-The value of the sup Test
-The version of test used (either Wald, LM or LR).
Author(s)
Matthieu Stigler
See Also
setarTest for a test with stationarity as a null.
Examples
BBCTest(lynx, m=3, test="Wald", grid="minPerc")
Results
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