The Rmetrics "fUnitRoots" package is a collection of functions to model trends and to analyze unit roots.
The 'fUnitroots' 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.
The section provides functions to compute the distribution and quantile functions for the ADF unit root test statistics.
padf returns the cumulative probability for the ADF test
qadf returns the quantiles for the ADF test
adfTable tables p values for ADF test
The section provides functions to compute the distribution and quantile functions for MacKinnon's unit root test statistics.
punitroot returns the cumulative probability
qunitroot returns the quantiles of the unit root test statistics
unitrootTable tables p values from MacKinnon's response surface
This section provides two functions for unit root testing of financial time series, the ADF tests based on Banerjee's et al. tables and the unit root tests based on J.G. McKinnons' tables:
adfTest augmented Dickey-Fuller test for unit roots
unitrootTest the same based on McKinnons's test statistics
This is an interface to the unitroot tests suite implemented by Bernhard Pfaff available through the R package "urca"
urdfTest Augmented Dickey-Fuller test for unit roots
urersTest Elliott--Rothenberg-Stock test for unit roots
urkpssTest KPSS unit root test for stationarity
urppTest Phillips-Perron test for unit roots
urspTest Schmidt-Phillips test for unit roots
urzaTest Zivot-Andrews test for unit roots
The fUnitroots Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.