pdR

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Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Ho Tsung-Wu

Last update: 21 August 2023

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

Software version identifier: 1.8, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.9.1

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

Description

Threshold model, panel version of Hylleberg et al. (1990) <doi:10.1016/0304-4076(90)90080-D> seasonal unit root tests, and panel unit root test of Chang (2002) <doi:10.1016/S0304-4076(02)00095-7>.

Cites work

• Seasonal integration and cointegration
• Nonlinear IV unit root tests in panels with cross-sectional dependency

Cited In (1)

• Entropy inference in smooth transition kink regression

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