fUnitRoots (Q37254)
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Rmetrics - Modelling Trends and Unit Roots
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | fUnitRoots |
Rmetrics - Modelling Trends and Unit Roots |
Statements
expanded from: GPL (≥ 2) (English)
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Diethelm Wuertz
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Yohan Chalabi
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19 December 2025
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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.
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