Order of integration by sequential unit-root testing

Differences the series until the unit-root indication disappears, at a level that vanishes with the sample size so the number of differences is estimated consistently. KPSS (null = stationarity) by default; ADF with BIC-chosen augmentation as an alternative. Critical values come from embedded asymptotic quantile tables validated against the published points.

Usage

integration_order(x, max_d = 2, alpha = NULL, test = "kpss")

Arguments

x

A numeric vector (a stationary series).

max_d

Largest d considered (default 2).

alpha

Fixed test level, or NULL (default) for the vanishing level 0.05 log(50) / log(n).

test

"kpss" (default) or "adf".

Value

A list with d, the stage stats and crits, alpha, test.