smoots (Q46957)

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Nonparametric Estimation of the Trend and Its Derivatives in TS
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smoots
Nonparametric Estimation of the Trend and Its Derivatives in TS

    Statements

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    1.1.3
    9 October 2021
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    1.0.0
    26 November 2019
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    1.0.1
    2 December 2019
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    1.1.0
    12 May 2021
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    1.1.1
    22 September 2021
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    1.1.2
    6 October 2021
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    1.1.4
    11 September 2023
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    11 September 2023
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    The nonparametric trend and its derivatives in equidistant time series (TS) with short-memory stationary errors can be estimated. The estimation is conducted via local polynomial regression using an automatically selected bandwidth obtained by a built-in iterative plug-in algorithm or a bandwidth fixed by the user. A Nadaraya-Watson kernel smoother is also built-in as a comparison. With version 1.1.0, a linearity test for the trend function, forecasting methods and backtesting approaches are implemented as well. The smoothing methods of the package are described in Feng, Y., Gries, T., and Fritz, M. (2020) <doi:10.1080/10485252.2020.1759598>.
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