IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2007.12249.html
   My bibliography  Save this paper

bootUR: An R Package for Bootstrap Unit Root Tests

Author

Listed:
  • Stephan Smeekes
  • Ines Wilms

Abstract

Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing in the R package bootUR.The package's backbone is the popular augmented Dickey-Fuller test paired with a union of rejections principle, which can be performed directly on single time series or multiple (including panel) time series. Accurate inference is ensured through the use of bootstrap methods. The package addresses the needs of both novice users, by providing user-friendly and easy-to-implement functions with sensible default options, as well as expert users, by giving full user-control to adjust the tests to one's desired settings. Our parallelized C++ implementation ensures that all unit root tests are scalable to datasets containing many time series.

Suggested Citation

  • Stephan Smeekes & Ines Wilms, 2020. "bootUR: An R Package for Bootstrap Unit Root Tests," Papers 2007.12249, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2007.12249
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2007.12249
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2007.12249. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.