[R-SIG-Finance] Implementation of Lee Strazicich Unit Root Test for R - Optimization

[Joshua Ulrich]

On Fri, Jul 10, 2015 at 5:01 AM, Johannes Lips <johannes.lips at gmail.com> wrote:
> Dear list,
>
> I have implemented the test from Lee and Strazichich (2003, 2004) in R and
> uploaded it to github. [1]
> The advantage of this test is, that it endogenously determines the dates of
> up to two possible structural breaks and
> it includes these structural breaks under the null and also the alternative
> hypothesis.
> I also implemented a General-to-Specific Approach to determine the number of
> lagged augmented terms to include in the test equation.
> At the moment it's not very efficient in regard to computing time, so I
> would be glad if someone could point out improvements to make the code
> faster and more efficient.
>
If you provide an example I can run, I can profile it to look for
bottlenecks.  From a quick look at the code, one thing that should
help a fair amount is to avoid calls to lm() and call lm.fit()
directly.

> Thanks in advance!
>
> Best regards,
> Johannes Lips
>
>
> [1] https://github.com/hannes101/LeeStrazicichUnitRoot
> Lee, Junsoo and Mark C. Strazicich (2003). “Minimum Lagrange Multiplier Unit
> Root Test with Two Structural Breaks”. In: The Review of Economics and
> Statistics 85.4, pp. 1082–1089.
> Lee, Junsoo and Mark C. Strazicich (2004). “Minimum LM Unit Root Test with
> One Structural Break”. In: 04-17. url:
> https://ideas.repec.org/p/apl/wpaper/04-17.html (visited on 02/04/2015).
>
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Joshua Ulrich  |  about.me/joshuaulrich
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