unitroot: Unit root tests

In feasts: Feature Extraction and Statistics for Time Series

Unit root tests

Description

Performs a test for the existence of a unit root in the vector.

Usage

unitroot_kpss(x, type = c("mu", "tau"), lags = c("short", "long", "nil"), ...)

unitroot_pp(
  x,
  type = c("Z-tau", "Z-alpha"),
  model = c("constant", "trend"),
  lags = c("short", "long"),
  ...
)

Arguments

x	A vector to be tested for the unit root.
type	Type of deterministic part.
lags	Maximum number of lags used for error term correction.
...	Arguments passed to unit root test function.
model	Determines the deterministic part in the test regression.

Details

unitroot_kpss computes the statistic for the Kwiatkowski et al. unit root test with linear trend and lag 1.

unitroot_pp computes the statistic for the Z-tau version of Phillips & Perron unit root test with constant trend and lag 1.

Value

A vector of numeric features for the test's statistic and p-value.

See Also

urca::ur.kpss()

urca::ur.pp()

feasts documentation built on Sept. 30, 2024, 9:14 a.m.