reindex.CT: A function that makes reindexing
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests
reindex.CT R Documentation
A function that makes reindexing
Description
The function is aimed to calculate the sequence of indices providing a new
"time transformed" time series as in Cavaliere and Taylor (2008).
Usage
reindex.CT(u)
Arguments
u
The residuals series for reindexing.
References
Cavaliere, Giuseppe, and A. M. Robert Taylor.
“Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility.”
Journal of Time Series Analysis 29, no. 2 (March 2008): 300–330.
https://doi.org/10.1111/j.1467-9892.2007.00557.x.
Kurozumi, Eiji, Anton Skrobotov, and Alexey Tsarev.
“Time-Transformed Test for Bubbles under Non-Stationary Volatility.”
Journal of Financial Econometrics, April 23, 2022.
https://doi.org/10.1093/jjfinec/nbac004.
d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.
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| reindex.CT | R Documentation |
A function that makes reindexing
Description
The function is aimed to calculate the sequence of indices providing a new "time transformed" time series as in Cavaliere and Taylor (2008).
Usage
reindex.CT(u)
Arguments
u |
The residuals series for reindexing. |
References
Cavaliere, Giuseppe, and A. M. Robert Taylor. “Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility.” Journal of Time Series Analysis 29, no. 2 (March 2008): 300–330. https://doi.org/10.1111/j.1467-9892.2007.00557.x.
Kurozumi, Eiji, Anton Skrobotov, and Alexey Tsarev. “Time-Transformed Test for Bubbles under Non-Stationary Volatility.” Journal of Financial Econometrics, April 23, 2022. https://doi.org/10.1093/jjfinec/nbac004.
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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