fUnitRoots

MaRDI QIDQ37254swMATHCRANFDO

Authors Tobias Setz, Diethelm Wuertz, Yohan Chalabi

Last update 19 December 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 4021.80, PACKAGES.rds, 260.71, 260.72, 270.73, 270.74, 290.75, 2100.76, 2160.77, 3010.78, 3042.79, 4040.81, 4052.82

Official website https://cran.r-project.org/web/packages/fUnitRoots/index.html

Source code repository https://github.com/cran/fUnitRoots

Description

Provides four addons for analyzing trends and unit roots in financial time series: (i) functions for the density and probability of the augmented Dickey-Fuller Test, (ii) functions for the density and probability of MacKinnon's unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an 'urca' Unit Root Test Interface for Pfaff's unit root test suite.

Cited in

(24)

• tseries
• mleur
• FitAR
• fArma
• PANICr
• GENALG
• urca
• AS 181
• vines
• ReporteRs
• uroot
• pdR
• Analysis of integrated and co-integrated time series with R
• soma
• dynlm
• dyn
• permute
• condMVNorm
• PowerPoint
• bootUR
• Statistical arbitrage with vine copulas
• MaxMC
• Finite-sample inference and nonstandard asymptotics with Monte Carlo tests and R
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city

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