bootUR: An R Package for Bootstrap Unit Root Tests
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 Dickey-Fuller test paired with a union of reje...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2023-05-01
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| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4591 |
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| _version_ | 1850059018723131392 |
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| author | Stephan Smeekes Ines Wilms |
| author_facet | Stephan Smeekes Ines Wilms |
| author_sort | Stephan Smeekes |
| collection | DOAJ |
| 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 Dickey-Fuller 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.
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| format | Article |
| id | doaj-art-ba0f17cb3c354be99aec90e1236b6feb |
| institution | DOAJ |
| issn | 1548-7660 |
| language | English |
| publishDate | 2023-05-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj-art-ba0f17cb3c354be99aec90e1236b6feb2025-08-20T02:51:00ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602023-05-01106110.18637/jss.v106.i128228bootUR: An R Package for Bootstrap Unit Root TestsStephan Smeekes0Ines Wilms1Maastricht UniversityMaastricht University 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 Dickey-Fuller 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. https://www.jstatsoft.org/index.php/jss/article/view/4591 |
| spellingShingle | Stephan Smeekes Ines Wilms bootUR: An R Package for Bootstrap Unit Root Tests Journal of Statistical Software |
| title | bootUR: An R Package for Bootstrap Unit Root Tests |
| title_full | bootUR: An R Package for Bootstrap Unit Root Tests |
| title_fullStr | bootUR: An R Package for Bootstrap Unit Root Tests |
| title_full_unstemmed | bootUR: An R Package for Bootstrap Unit Root Tests |
| title_short | bootUR: An R Package for Bootstrap Unit Root Tests |
| title_sort | bootur an r package for bootstrap unit root tests |
| url | https://www.jstatsoft.org/index.php/jss/article/view/4591 |
| work_keys_str_mv | AT stephansmeekes booturanrpackageforbootstrapunitroottests AT ineswilms booturanrpackageforbootstrapunitroottests |