bootUR: Bootstrap Unit Root Tests

Set of functions to perform various bootstrap unit root tests for both individual time series (including augmented Dickey-Fuller test and union tests), multiple time series and panel data; see Palm, Smeekes and Urbain (2008) <doi:10.1111/j.1467-9892.2007.00565.x>, Palm, Smeekes and Urbain (2011) <doi:10.1016/j.jeconom.2010.11.010>, Moon and Perron (2012) <doi:10.1016/j.jeconom.2012.01.008>, Smeekes and Taylor (2012) <doi:10.1017/S0266466611000387> and Smeekes (2015) <doi:10.1111/jtsa.12110> for key references.

Package details

AuthorStephan Smeekes [cre, aut] (<https://orcid.org/0000-0002-0157-639X>), Ines Wilms [aut]
MaintainerStephan Smeekes <s.smeekes@maastrichtuniversity.nl>
LicenseGPL (>= 2)
Version0.2.0
URL https://github.com/smeekes/bootUR
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bootUR")

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bootUR documentation built on July 24, 2020, 5:07 p.m.