Seasonal unit roots and seasonal stability tests. P-values based on response surface regressions are available for both tests. P-values based on bootstrap are available for seasonal unit root tests. A parallel implementation of the bootstrap method requires a CUDA capable GPU with compute capability >= 3.0, otherwise a debugging version fully coded in R is used.
|Author||Javier López-de-Lacalle <email@example.com>|
|Date of publication||2017-01-06 12:05:01|
|Maintainer||Javier López-de-Lacalle <firstname.lastname@example.org>|
bgt-data: BGT-data Sample Data Set
ch-data: CH-data Sample Data Set
ch-rs-pvalue: P-values for the CH test statistic
ch-test: Canova and Hansen Test for Seasonal Stability
hegy-boot-pval: Bootstrapped P-Values for the HEGY Test Statistics
hegy-rs-pvalue: P-values based on response surface regressions for the HEGY...
hegy-test: Hylleberg, Engle, Granger and Yoo Test for Seasonal Unit...
seasonal-dummies-cycles: Seasonal Dummies and Seasonal Cycles
uroot-package: Unit Root Tests for Seasonal Time Series
uroot-raw-pvalues: Original Tables of Critical Values