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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.2013.08.012>. 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>.
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Package details |
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| Author | Muhammad Alkhalaf [aut, cre, cph] (ORCID: <https://orcid.org/0009-0002-2677-9246>), Giuseppe Cavaliere [ctb] (Original methodology), Fang Xu [ctb] (Original methodology) |
| Maintainer | Muhammad Alkhalaf <muhammedalkhalaf@gmail.com> |
| License | GPL-3 |
| Version | 1.0.1 |
| URL | https://github.com/muhammedalkhalaf/boundedur |
| Package repository | View on CRAN |
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