fUnitRoots (version 4021.80)

Rmetrics - Modelling Trends and Unit Roots

Description

Provides four addons for analyzing trends and unit roots in financial time series: (i) functions for the density and probability of the augmented Dickey-Fuller Test, (ii) functions for the density and probability of MacKinnon's unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an 'urca' Unit Root Test Interface for Pfaff's unit root test suite.

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Install

install.packages('fUnitRoots')

Monthly Downloads

2,628

Version

4021.80

License

GPL (>= 2)

Last Published

August 6th, 2022

Functions in fUnitRoots (4021.80)