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] (<>), Ines Wilms [aut]
MaintainerStephan Smeekes <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bootUR documentation built on Nov. 25, 2021, 5:07 p.m.