Cook_Vougas_2009_unit_root {NonlinearTSA} | R Documentation |
This function allows you to make Cook and Vougas(2009) nonlinear unit root test
Cook_Vougas_2009_unit_root(x, model, max_lags)
x |
series name, |
model |
if model A 1, if model B 2, if model C 3, model D 4 |
max_lags |
maximum lag(optimal lag selected by AIC) |
set.seed(12345)
x <- rnorm(1000)
Cook_Vougas_2009_unit_root(x,model=1,max_lags=3)
data(IBM)
Cook_Vougas_2009_unit_root(x=IBM,model=3,max_lags=3)