R/boundedur-package.R

In boundedur: Unit Root Tests for Bounded Time Series

#' boundedur: Unit Root Tests for Bounded Time Series
#'
#' The \pkg{boundedur} package implements unit root tests for bounded time
#' series following the methodology of Cavaliere and Xu (2014). Standard unit
#' root tests (ADF, Phillips-Perron) have non-standard limiting distributions
#' when the time series is constrained to lie within bounds. This package
#' provides modified tests with p-values computed via Monte Carlo simulation
#' of bounded Brownian motion.
#'
#' @section Main Functions:
#' \describe{
#'   \item{\code{\link{boundedur}}}{Main function to perform bounded unit root tests}
#'   \item{\code{\link{simulate_bounded_bm}}}{Simulate bounded Brownian motion}
#'   \item{\code{\link{select_lag_maic}}}{Select optimal lag using MAIC criterion}
#' }
#'
#' @section Available Tests:
#' \itemize{
#'   \item \strong{ADF-alpha}: Augmented Dickey-Fuller normalized bias test
#'   \item \strong{ADF-t}: Augmented Dickey-Fuller t-statistic test
#'   \item \strong{MZ-alpha}: Modified Phillips-Perron normalized bias test
#'   \item \strong{MZ-t}: Modified Phillips-Perron t-statistic test
#'   \item \strong{MSB}: Modified Sargan-Bhargava test
#' }
#'
#' @references
#' Cavaliere, G., & Xu, F. (2014). Testing for unit roots in bounded time
#' series. \emph{Journal of Econometrics}, 178(2), 259-272.
#' \doi{10.1016/j.jeconom.2013.08.012}
#'
#' Ng, S., & Perron, P. (2001). Lag length selection and the construction of
#' unit root tests with good size and power. \emph{Econometrica}, 69(6),
#' 1519-1554. \doi{10.1111/1468-0262.00256}
#'
#' @keywords internal
"_PACKAGE"