boundedur (Q7369323)
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Unit Root Tests for Bounded Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | boundedur |
Unit Root Tests for Bounded Time Series |
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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>.
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28 September 2026
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