Man pages for d9d6ka/RANEPA-R
Set of unit root and cointegration tests
| ADF.test | A simple implementation of ADF test |
| ADF.test.S | Detrending bootstrap test by Smeekes (2013) |
| AR | Custom AR with extra information |
| coint.conf.sets | Confidence sets for the break date in cointegrating... |
| coint.test.GH | Gregory-Hansen test for the absense of cointegration |
| coint.test.PR | A set of residual based tests for cointegration |
| determinants.KPSS.1.break | Construct determinant variables for KPSS.1.break |
| determinants.KPSS.2.breaks | Construct determinant variables for KPSS.2.breaks |
| determinants.KPSS.N.breaks | Deterministic terms for KPSS.N.breaks |
| detrend.recursively | Detrending the data recursively |
| diffn | Produce a vector or matrix of differences, keeping initial... |
| DOLS.1.break | Estimating DOLS regression for multiple known break points |
| DOLS.N.breaks | Estimating DOLS regression for multiple known break points |
| DOLS.vars.N.breaks | Preparing variables for DOLS regression with multiple known... |
| eos.break.test | Andrews-Kim (2006) test |
| get.cv.coint.conf.sets | Critical values for break point confidence intervals |
| get.cv.KPSS.1p | Critical values for KPSS test with 1 break |
| get.cv.KPSS.2p | Critical values for KPSS test with 2 breaks |
| get.p.values.SADF | Critical values for SADF-type tests |
| GLS | Custom GLS with extra information |
| GLS.bt | GLS fitering with a break |
| info.criterion | Information criterions |
| KP | Kejrival-Perron procedure of breaks number detection |
| KPSS | Auxiliary function returning KPSS statistic value. |
| KPSS.1.break | KPSS-test with known structural break |
| KPSS.1.break.unknown | KPSS-test of cointegration |
| KPSS.2.breaks | KPSS-test with 2 known structural breaks |
| KPSS.2.breaks.unknown | KPSS-test with 2 unknown structural breaks |
| KPSS.HLT | Unit root testing procedure under a single structural break. |
| KPSS.N.breaks | KPSS-test with multiple known structural breaks |
| KPSS.N.breaks.bootstrap | KPSS-test with multiple unknown structural breaks |
| lagn | Produce a vector lagged backward of forward |
| lr.var | Calculating long-run variance or covariance matrix |
| MDF.CHLT | MDF test for a single break and possible heteroscedasticity |
| MDF.multiple | MDF procedure for multiple unknown breaks. |
| MDF.single | MDF procedure for a single unknown break. |
| MZ.statistic | Calculating M-statistics by Stock (1990) and Perron and Ng... |
| NW.estimation | Nadaraya–Watson kernel regression. |
| NW.kernel | Returning a kernel value for a specific point |
| NW.loocv | LOO-CV for h in Nadaraya–Watson kernel regression. |
| NW.volatility | Nadaraya–Watson kernel volatility estimation |
| OLS | Custom OLS with extra information |
| print.sadf | Custom functions for printing results in a nice way. |
| PY.sequential | Sequential Perron-Yabu (2009) statistic for breaks at unknown... |
| PY.single | Perron-Yabu (2009) statistic for break at unknown date. |
| reindex.CT | A function that makes reindexing |
| rescale.CPST | Generating rescaled series as in Cavaliere et al. (2015) |
| resid.tests.PR | Internal procedure for calculating test statistics from... |
| robust.tests.multiple | A wrapping function around KP and MDF.multiple. |
| robust.tests.single | A wrapping function around MDF.single. |
| SADF.bootstrap.test | Supremum ADF tests with wild bootstrap. |
| SADF.test | Supremum ADF tests |
| sb.GSADF.test | Sign-based SADF test |
| seasonal.dummies | Generating monthly seasonal dummy variables |
| segments.GLS | Procedure to minimize the GLS-SSR for 1 break point |
| segments.OLS.1.break | Procedure to minimize the SSR for 1 break point |
| segments.OLS.2.breaks | Procedure to minimize the SSR for 2 break points |
| segments.OLS.N.breaks | Find m + 1 optimal partitions |
| select.lead.lag.KS | Estimating optimal number of leads and lags |
| SSR.matrix | Pre-calculate matrix of recursive SSR values. |
| SSR.recursive | Calculate SSR recursively |
| STADF.test | Supremum ADF tests with time transformation |
| supBZ.statistic | Calculate supBZ statistic |
| supSBADF.statistic | Calculate superior sign-based SADF statistic. |
| VECM.logl | Quasi log likelihood for VECM without and with breaks |
| VECM.test | Test of the cointegration rank with a possible break in trend |
| weighted.SADF.test | Weighted supremum ADF test |
