hr-package: Bootstrap Model Average Unit Root Test

In JeffreyRacine/R-Package-hr: Bootstrap Model Average Unit Root Test

Description

This package implements the Hansen-Racine nonparametric bootstrap model average unit root test.

Details

The DESCRIPTION file: This package was not yet installed at build time.

Index: This package was not yet installed at build time.
vignette("bmmaur", package = "hr")

Author(s)

Jeffrey S. Racine [aut, cre]

Maintainer: Jeffrey S. Racine <[e-mail]>

References

Racine (2017), “Bootstrap Mallows Model Averaging Unit Root Inference,” Technical Report.

See Also

pp.test

Examples

## Generate a series with a unit root, MA errors

set.seed(42)
T <- 100
x <- arima.sim(list(order=c(0,1,1),ma=-0.8),n=T)

## Compute the test

hr.test(x,B=99)

## The Phillips-Perron test rejects 100% of the time for this DGP

suppressPackageStartupMessages(library("tseries"))

pp.test(x)

## The ADF test with BIC model selection incorrectly rejects the null a large 
## fraction of the time for this DGP

suppressPackageStartupMessages(library("CADFtest"))

CADFtest(x,max.lag.y=round(12*(T/100)^0.25),criterion="BIC",type="drift")

JeffreyRacine/R-Package-hr documentation built on May 5, 2019, 3:55 p.m.