sTSD: Simulate Time Series Diagnostics

{sTSD} provides a suite of functions for the analyses of time series, with an initial focus on diagnostic tests for unit root. Its primary aim concerns the simulation of critical values that are almost always approximated or interpolated by reference to tables of critical values passed down from decades-old texts. While there is nothing necessarily wrong with the received wisdom of critical values generated decades ago, simulation provides its own perks. Not only is simulation broadly informative as to what these various test statistics do and what are their plausible values, simulation provides more flexibility for assessing unit root by way of different thresholds or different hypothesized distributions.

Installation

This package is now on CRAN. You can download it as you would any other R package.

install.packages("sTSD")

You can also install the development version of {sTSD} from Github via the {devtools} package. I suppose using the {remotes} package would work as well.

devtools::install_github("svmiller/sTSD")