fUnitRoots-package {fUnitRoots}

Modelling Trends and Unit Roots

Description

The Rmetrics "fUnitRoots" package is a collection of functions to model trends and to analyze unit roots.

1 Introduction

The 'fUnitroots' 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.

2 Dickey-Fuller p Values

The section provides functions to compute the distribution and quantile functions for the ADF unit root test statistics.

    padf            returns the cumulative probability for the ADF test
    qadf            returns the quantiles for the ADF test
    adfTable        tables p values for ADF test
    

3 Mc Kinnon p Values

The section provides functions to compute the distribution and quantile functions for MacKinnon's unit root test statistics.

    punitroot       returns the cumulative probability
    qunitroot       returns the quantiles of the unit root test statistics
    unitrootTable   tables p values from MacKinnon's response surface
    

4 Unit Root Time Series Tests

This section provides two functions for unit root testing of financial time series, the ADF tests based on Banerjee's et al. tables and the unit root tests based on J.G. McKinnons' tables:

    adfTest         augmented Dickey-Fuller test for unit roots
    unitrootTest    the same based on McKinnons's test statistics
    

5 "urca"" Unit Root Test Interface

This is an interface to the unitroot tests suite implemented by Bernhard Pfaff available through the R package "urca"

    urdfTest        Augmented Dickey-Fuller test for unit roots
    urersTest       Elliott--Rothenberg-Stock test for unit roots
    urkpssTest      KPSS unit root test for stationarity
    urppTest        Phillips-Perron test for unit roots
    urspTest        Schmidt-Phillips test for unit roots
    urzaTest        Zivot-Andrews test for unit roots
    

About Rmetrics

The fUnitroots Rmetrics package is written for educational support in teaching "Computational Finance and Financial Engineering" and licensed under the GPL.