Determines if a trend is required for the specified VAR model

This function uses the Phillips-Perron Unit Root Test to determine whether a trend is required for a VAR model based on the given matrix of endogenous variables and the given lag. All variables are assessed individually. This function returns TRUE if any of the endogenous variables requires a trend.

needs_trend(endo_matrix, lag)

Arguments

endo_matrix

The matrix of endogenous variables in the model.
lag

An integer specifying the lag length of the model.

Value

A boolean indicating whether a trend is required for the specified VAR model.

Examples

data_matrix <- matrix(nrow = 40, ncol = 3)
data_matrix[, ] <- runif(ncol(data_matrix) * nrow(data_matrix), 1, 10)
data_matrix[, 3] <- (1:40) + rnorm(40)
colnames(data_matrix) <- c('rumination', 'happiness', 'activity')
data_matrix
#>       rumination happiness  activity
#>  [1,]   1.260839  5.828456  1.734189
#>  [2,]   3.156103  3.584209  0.945442
#>  [3,]   4.989236  8.226470  3.030425
#>  [4,]   8.145947  2.307373  3.379408
#>  [5,]   9.353689  8.825268  4.806498
#>  [6,]   5.328310  6.730871  6.393607
#>  [7,]   8.728623  8.165150  6.966774
#>  [8,]   9.315332  2.602407  7.471277
#>  [9,]   7.694059  1.770745 12.071007
#> [10,]   7.969362  3.634218  8.575276
#> [11,]   5.059006  6.177261 11.330701
#> [12,]   8.240180  8.538302 10.240521
#> [13,]   2.586318  9.775416 11.983616
#> [14,]   7.437169  3.654475 15.036862
#> [15,]   9.417796  2.891047 15.034712
#> [16,]   3.164030  7.525298 14.306309
#> [17,]   5.224547  6.379133 16.625918
#> [18,]   2.445269  4.031261 16.741638
#> [19,]   4.201919  7.247918 18.391894
#> [20,]   9.681328  4.292316 18.631292
#> [21,]   7.550379  3.790154 20.057837
#> [22,]   2.284494  8.251861 22.739858
#> [23,]   9.429282  2.651511 23.022094
#> [24,]   5.312350  3.429896 24.548883
#> [25,]   5.207661  8.599224 23.649302
#> [26,]   4.034139  2.101044 25.355532
#> [27,]   9.310651  9.542231 28.047845
#> [28,]   3.547561  9.702133 27.678607
#> [29,]   8.601458  2.840843 29.034326
#> [30,]   6.418320  3.054149 31.063948
#> [31,]   3.244032  1.869226 29.412392
#> [32,]   7.062817  7.608737 30.416538
#> [33,]   4.658472  3.827600 33.110531
#> [34,]   6.730185  6.420634 34.246299
#> [35,]   7.240879  4.816384 35.057150
#> [36,]   5.041686  8.947319 34.916697
#> [37,]   1.051658  2.028668 37.216301
#> [38,]   9.180131  3.753878 37.176314
#> [39,]   3.175794  1.540223 37.499220
#> [40,]   2.132192  9.959741 41.226567
autovarCore:::needs_trend(data_matrix, 1)
#> [1] TRUE