uroot v2.0-9.1

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Unit Root Tests for Seasonal Time Series

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.

Functions in uroot

Name Description
ch.rs.pvalue P-values for the CH test statistic
bgt.data BGT-data Sample Data Set
ch.data CH-data Sample Data Set
hegy.boot.pval Bootstrapped P-Values for the HEGY Test Statistics
hegy.test Hylleberg, Engle, Granger and Yoo Test for Seasonal Unit Roots
seasonal.dummies Seasonal Dummies and Seasonal Cycles
hegy.rs.pvalue P-values based on response surface regressions for the HEGY test statistics
ch.test Canova and Hansen Test for Seasonal Stability
uroot-package Unit Root Tests for Seasonal Time Series
uroot.raw.pvalue Original Tables of Critical Values
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Vignettes of uroot

Name
uroot-intro.Rnw
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Details

Date 2017-01-27
SystemRequirements nvcc (release >= 7.1) (NVIDIA Cuda Compiler driver)
Encoding UTF-8
NeedsCompilation yes
LazyData yes
LazyDataCompression xz
License GPL-2
URL https://jalobe.com
Packaged 2019-03-22 08:49:00 UTC; ripley
Repository CRAN
Date/Publication 2019-03-24 07:07:31 UTC
X-CRAN-Original-Maintainer Javier Lpez-de-Lacalle
X-CRAN-Comment Orphaned on 2019-03-24 as check problems were not corrected in time.

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