mctest: Monte-Carlo unit root test
In mleur: Maximum likelihood unit root test
Description
Usage
Arguments
Value
Author(s)
See Also
Examples
Description
The Monte-Carlo unit root test using the exact MLE.
This provides a check for the function mleur() as well as
a more robust approach using bootstrap residuals.
Usage
1
Arguments
y
the time series to be tested
type
default "p" for pivotal statistic, otherwise the normalized statistic
is used
NumRep
Number of iterations for Monte-Carlo
bootQ
if FALSE, use NID innovations, otherwise if TRUE a bootstrap
sample of the residuals
Value
p-value
Author(s)
A.I. McLeod and Hao Yu
See Also
Examples
1
mleur documentation built on May 1, 2019, 7:31 p.m.
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Description Usage Arguments Value Author(s) See Also Examples
Description
The Monte-Carlo unit root test using the exact MLE.
This provides a check for the function mleur() as well as
a more robust approach using bootstrap residuals.
Usage
1 |
Arguments
y |
the time series to be tested |
type |
default "p" for pivotal statistic, otherwise the normalized statistic is used |
NumRep |
Number of iterations for Monte-Carlo |
bootQ |
if FALSE, use NID innovations, otherwise if TRUE a bootstrap sample of the residuals |
Value
p-value
Author(s)
A.I. McLeod and Hao Yu
See Also
Examples
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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