hegy.boot.pval {uroot} | R Documentation

## Bootstrapped P-Values for the HEGY Test Statistics

### Description

Compute p-values for the HEGY test statistics by means of bootstrap.

### Usage

    hegy.boot.pval(x, model0, stats0,
      deterministic = c(1,0,0), lag.method = c("fixed", "AIC", "BIC"), maxlag = 0,
      byseason = FALSE, nb = 500, u = NULL, debug.tid = -1)

### Arguments

`x` | a univariate seasonal time series.

`model0` | the `fitted.model` returned by `hegy.test` for the original data.

`stats0` | the `statistics` returned by `hegy.test` for the original data.

`deterministic` | a vector of length three containing zeros or ones to indicate, respectively, whether a constant, a trend or seasonal dummies are included in the regression equation of the test.

`lag.method` | a character specifying the lag order selection method.

`maxlag` | the maximum lag order to be considered by `lag.method`.

`byseason` | logical, should the residuals be resampled by season? If `TRUE`, the residuals are split by the season they belong to and resampled accordingly; otherwise, the entire series of residuals is resampled regardless of the season they belong to.

`nb` | the number of bootstrap replicates.

`u` | optional matrix of integers giving the indices of the resampled residuals. Intended for debugging.

`debug.tid` | numeric, if positive, the bootstrap replicate of the data generated at iteratin `debug.tid` is returned (intended for debugging).

### Details

See `hegy.test` for further details about the arguments that have the same name in both functions (`deterministic`, `lag.method`, `maxlag`).

Bootstrapped p-values follow the approach described in Burridge and Robert Taylor (2004), except that here, the residuals are resampled regardless of the season they belong to.

### Value

A numeric vector containing the p-values of the the test statistics. The vector is named following the same convention as `statistics` and `pvalues` returned by `hegy.test`.

If the number of bootstrap replicates is `nb = 1`, the resampled series is returned (relevant for inspection of how the resampled series look like and for debugging).

### References

Burridge, P. and Taylor, R. (2004) "Bootstrapping the HEGY seasonal unit root tests." Journal of Econometrics 123(1), pp. 67-87. DOI: http://dx.doi.org/10.1016/j.jeconom.2003.10.029.

Hylleberg, S., Engle, R., Granger, C. and Yoo, B. (1990) "Seasonal integration and cointegration." Journal of Econometrics 44(1), pp. 215-238. DOI: http://dx.doi.org/10.1016/0304-4076(90)90080-D.

### See Also

`hegy.test`.

### Examples

    ## Not run:
    x <- bgt.data[["LCONSEXPCO"]]
    # this requires CUDA capable GPU
    hegy.test(x, deterministic = c(1,1,1), lag.method = "fixed", maxlag = 1,
      pvalue = "bootstrap")
    # alternatively, full R non-parallel version
    res <- hegy.test(x, deterministic = c(1,1,1), lag.method = "fixed", maxlag = 1)
    hegy.boot.pval(x, res$fit, res$stat, deterministic = c(1,1,1),
      lag.method = "fixed", maxlag = 1, nb = 1000)
    ## End(Not run)

[Package uroot version 2.0-9.1 Index]