check_inputs function

Auxiliary Function (not accessible to users) to check if all arguments put in by the user are correct, and to perform some preliminary calculations.

check_inputs(data, boot_sqt_test, boot_ur_test, level, bootstrap, B,
  block_length, ar_AWB, union, min_lag, max_lag, criterion, deterministics,
  detrend, steps, do_parallel, cores, data_name)

Arguments

• data: A $T$-dimensional vector or a ($T$ x $N$)-matrix of $N$ time series with $T$ observations to be tested for unit roots. Data may also be in a time series format (e.g. ts, zoo or xts), or a data frame, as long as each column represents a single time series.

• boot_sqt_test: Logical indicator whether or not to perform the Bootstrap Quantile Test (TRUE) or not (FALSE).

• boot_ur_test: Logical indicator whether or not to perform the individual ADF Tests (TRUE) or not (FALSE).

• level: Desired significance level of the unit root test.

• bootstrap: String for bootstrap method to be used. Options are

  • "MBB": Moving blocks bootstrap;
  • "BWB": Block wild bootstrap;
  • "DWB": Dependent wild bootstrap;
  • "AWB": Autoregressive wild bootstrap;
  • "SB": Sieve bootstrap;
  • "SWB": Sieve wild bootstrap.

• B: Number of bootstrap replications. Default is 1999.

• block_length: Desired 'block length' in the bootstrap. For the MBB, BWB and DWB bootstrap, this is a genuine block length. For the AWB bootstrap, the block length is transformed into an autoregressive parameter via the formula $0.01^(1/block_length)$; this can be overwritten by setting ar_AWB directly. If NULL, sets the block length as a function of the time series length T, via the rule $block_length = 1.75 T^(1/3)$.

• ar_AWB: Autoregressive parameter used in the AWB bootstrap method (bootstrap = "AWB"). Can be used to set the parameter directly rather than via the default link to the block length.

• union: Logical indicator whether or not to use bootstrap union tests (TRUE) or not (FALSE).

• min_lag: Minimum lag length in the augmented Dickey-Fuller regression.

• max_lag: Maximum lag length in the augmented Dickey-Fuller regression.

• criterion: String for information criterion used to select the lag length in the augmented Dickey-Fuller regression. Options are: "AIC", "BIC", "MAIC", "MBIC.

• deterministics: Numeric vector indicating the deterministic specification. Only relevant if union = FALSE. Options are (combinations of): 0 - no deterministics; 1 - intercept only; 2 - intercept and trend. If union = FALSE and deterministics = NULL, an intercept is added.

• detrend: String vector indicating the type of detrending to be performed. Only relevant if union = FALSE. Options are: "OLS" and/or "QD" (typically also called GLS). If NULL, set to "OLS".

• steps: Numeric vector of quantiles to be tested. Default is to test each unit sequentially.

• do_parallel: Logical indicator whether bootstrap loop should be executed in parallel. Default is TRUE.

• cores: The number of cores to be used in the parallel loops. Default is to use all but one.

• data_name: Optional name for the data, to be used in the output. The default uses the name of the 'data' argument.

See Also

boot_ur, boot_sqt, boot_fdr