Package: boundedur 1.0.3
boundedur: Unit Root Tests for Bounded Time Series
Implements unit root tests for bounded time series following Cavaliere and Xu (2014) <doi:10.1016/j.jeconom.2013.08.026>. Standard unit root tests (ADF, Phillips-Perron) have non-standard limiting distributions when the time series is bounded. This package provides modified ADF and M-type tests (MZ-alpha, MZ-t, MSB) with p-values computed via Monte Carlo simulation of bounded Brownian motion. Supports one-sided (lower bound only) and two-sided bounds, with automatic lag selection using the MAIC criterion of Ng and Perron (2001) <doi:10.1111/1468-0262.00256>.
Authors:
boundedur_1.0.3.tar.gz
boundedur_1.0.3.zip(r-4.7-any)boundedur_1.0.3.zip(r-4.6-any)boundedur_1.0.3.zip(r-4.5-any)
boundedur_1.0.3.tgz(r-4.6-any)boundedur_1.0.3.tgz(r-4.5-any)
boundedur_1.0.3.tar.gz(r-4.7-any)boundedur_1.0.3.tar.gz(r-4.6-any)
boundedur_1.0.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
boundedur/json (API)
| # Install 'boundedur' in R: |
| install.packages('boundedur', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/muhammedalkhalaf/boundedur/issues
Last updated from:16dc326690. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 133 | ||
| source / vignettes | OK | 194 | ||
| linux-release | OK | 88 | ||
| macos-release | OK | 73 | ||
| macos-oldrel | OK | 116 | ||
| windows-devel | OK | 61 | ||
| windows-release | OK | 61 | ||
| windows-oldrel | OK | 59 | ||
| wasm-release | OK | 82 |
Exports:boundedurselect_lag_maicsimulate_bounded_bm
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Unit Root Tests for Bounded Time Series | boundedur |
| Select Optimal Lag using MAIC Criterion | select_lag_maic |
| Simulate Bounded Brownian Motion | simulate_bounded_bm |