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uroot (version 2.0-5)

Unit Root Tests for Seasonal Time Series

Description

Seasonal unit roots and seasonal stability tests. P-values based on response surface regressions are available for both tests. P-values based on bootstrap are available for seasonal unit root tests. A parallel implementation of the bootstrap method requires a CUDA capable GPU with compute capability >= 3.0, otherwise a debugging version fully coded in R is used.

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Version

Install

install.packages('uroot')

Monthly Downloads

7,863

Version

2.0-5

License

GPL-2

Maintainer

Javier López-de-Lacalle

Last Published

March 19th, 2016

Functions in uroot (2.0-5)

uroot.raw.pvalue

Original Tables of Critical Values
hegy.boot.pval

Bootstrapped P-Values for the HEGY Test Statistics
ch.data

CH-data Sample Data Set
ch.rs.pvalue

P-values for the CH test statistic
bgt.data

BGT-data Sample Data Set
ch.test

Canova and Hansen Test for Seasonal Stability
hegy.rs.pvalue

P-values based on response surface regressions for the HEGY test statistics
seasonal.dummies

Seasonal Dummies and Seasonal Cycles
hegy.test

Hylleberg, Engle, Granger and Yoo Test for Seasonal Unit Roots
uroot-package

Unit Root Tests for Seasonal Time Series