bootUR: An R Package for Bootstrap Unit Root Tests
Dublin Core
Title
bootUR: An R Package for Bootstrap Unit Root Tests
Subject
bootstrap, R, time series, unit roots
Description
Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing
in the R package bootUR. The package’s backbone is the popular augmented DickeyFuller test paired with a union of rejections principle, which can be performed directly on
single time series or multiple (including panel) time series. Accurate inference is ensured
through the use of bootstrap methods. The package addresses the needs of both novice
users, by providing user-friendly and easy-to-implement functions with sensible default
options, as well as expert users, by giving full user-control to adjust the tests to one’s
desired settings. Our parallelized C++ implementation ensures that all unit root tests
are scalable to datasets containing many time series.
in the R package bootUR. The package’s backbone is the popular augmented DickeyFuller test paired with a union of rejections principle, which can be performed directly on
single time series or multiple (including panel) time series. Accurate inference is ensured
through the use of bootstrap methods. The package addresses the needs of both novice
users, by providing user-friendly and easy-to-implement functions with sensible default
options, as well as expert users, by giving full user-control to adjust the tests to one’s
desired settings. Our parallelized C++ implementation ensures that all unit root tests
are scalable to datasets containing many time series.
Creator
Stephan Smeekes
Source
https://www.jstatsoft.org/article/view/v106i12
Publisher
Maastricht University
Date
March 2023
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Stephan Smeekes, “bootUR: An R Package for Bootstrap Unit Root Tests,” Repository Horizon University Indonesia, accessed April 12, 2025, https://repository.horizon.ac.id/items/show/8303.