diff_mult

Performs differencing of multiple time series, with possibly different orders for each time series.

Set of functions to perform various bootstrap unit root tests for both individual time series
(including augmented Dickey-Fuller test and union tests), multiple time series and panel data; see
Smeekes and Wilms (2023) <doi:10.18637/jss.v106.i12>,
Palm, Smeekes and Urbain (2008) <doi:10.1111/j.1467-9892.2007.00565.x>,
Palm, Smeekes and Urbain (2011) <doi:10.1016/j.jeconom.2010.11.010>,
Moon and Perron (2012) <doi:10.1016/j.jeconom.2012.01.008>,
Smeekes and Taylor (2012) <doi:10.1017/S0266466611000387> and
Smeekes (2015) <doi:10.1111/jtsa.12110> for key references.

Stephan Smeekes

bootUR

Bootstrap Unit Root Tests

Ines Wilms

diff_mult function

<dl><dt>data</dt>
<dd>A (\(T\)x\(N\))-matrix of \(N\) time series with \(T\) observations. Data may also be in a time series format (e.g. <code>ts</code>, <code>zoo</code> or <code>xts</code>) or data frame.</dd>
<dt>d</dt>
<dd>An \(N\)-dimensional vector containing the orders</dd>
<dt>keep_NAs</dt>
<dd>Logical indicator whether or not to keep the <code>NA</code> values resulting from differencing at the beginning of the sample. Default is <code>TRUE</code>. If <code>FALSE</code>, the entire row containing the <code>NA</code> values is removed.</dd></dl>

Arguments

Differences of Multiple Time Series — diff_mult

<dl>

<dt>data</dt>
<dd>A (\(T\)x\(N\))-matrix of \(N\) time series with \(T\) observations. Data may also be in a time series format (e.g. <code>ts</code>, <code>zoo</code> or <code>xts</code>) or data frame.</dd>


<dt>d</dt>
<dd>An \(N\)-dimensional vector containing the orders</dd>


<dt>keep_NAs</dt>
<dd>Logical indicator whether or not to keep the <code>NA</code> values resulting from differencing at the beginning of the sample. Default is <code>TRUE</code>. If <code>FALSE</code>, the entire row containing the <code>NA</code> values is removed.</dd>

</dl>

diff_mult: Differences of Multiple Time Series

Description

Usage

Value

Arguments

References