gen_features: Estimate a battery of statistical tests for unit roots and...

In DataScienceForPublicPolicy/unitrootML: unitrootML - Machine Learning-Based Hypothesis Testing for Time Series

Description

Returns a data frame of unit root tests and time series features

Usage

gen_features(bank, cval = 0.05, run_par = TRUE)

Arguments

bank	A list of time series objects constructed by gen_bank function
cval	A critical value as a p-value
run_par	Boolean indicating whether to compute in parallel.

Details

Returns a set of commonly used time series statistical tests and time series features.

Value

Returns a list object of time series objects with their attributes.

A data frame

Author(s)

Gary Cornwall and Jeffrey Chen

Examples

#Create simulated time series using Enders 1
new_series <- gen_bank(iter = 300,
                       dgp_params = list(dgp = "dgp_enders1",
                                         periods = 100,
                                         sd = 1,
                                         alpha0 = 1,
                                         alpha2 =  .005,
                                         gamma = 1))
#Generate features
feat <- gen_features(bank = new_series)

DataScienceForPublicPolicy/unitrootML documentation built on Dec. 17, 2021, 4:07 p.m.