boundedur

MaRDI QIDQ7369323CRANFDO

Authors Muhammad Alkhalaf

Last update 28 September 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.1, 1.0.3

Description

Implements unit root tests for bounded time series following Cavaliere and Xu (2014) <doi:10.1016/j.jeconom.2013.08.026>. Standard unit root tests (ADF, Phillips-Perron) have non-standard limiting distributions when the time series is bounded. This package provides modified ADF and M-type tests (MZ-alpha, MZ-t, MSB) with p-values computed via Monte Carlo simulation of bounded Brownian motion. Supports one-sided (lower bound only) and two-sided bounds, with automatic lag selection using the MAIC criterion of Ng and Perron (2001) <doi:10.1111/1468-0262.00256>.

Cites work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Testing for unit roots in bounded time series

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