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Test for autocorrelation for mleur test
● Data Source:
CranContrib
● Keywords: ts
● Alias: mleurDiag
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mleur
(Package: mleur) :
Fast exact MLE unit root test
Implements fast unit root test using response surface
● Data Source:
CranContrib
● Keywords: ts
● Alias: mleur
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dftest
(Package: mleur) :
Dickey-Fuller test
Computes the Dickey-Fuller test using the pivotal test statistic and returns critical points for tests at levels 0.1, 0.05, 0.01.
● Data Source:
CranContrib
● Keywords: ts
● Alias: dftest
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GetPower
(Package: mleur) :
Simulation function to compute power for AR(1) alternative
Compares the empirical power of unit-root tests using simulation. Various non-normal distributions may be selected.
● Data Source:
CranContrib
● Keywords: ts
● Alias: GetPower
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mctest
(Package: mleur) :
Monte-Carlo unit root test
The Monte-Carlo unit root test using the exact MLE. This provides a check for the function mleur() as well as a more robust approach using bootstrap residuals.
● Data Source:
CranContrib
● Keywords: ts
● Alias: mctest
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simar1
(Package: mleur) :
Simulate AR(1)
Exact simulation for AR(1) with normal and non-normal innovations
● Data Source:
CranContrib
● Keywords: ts
● Alias: simar1
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ar1est
(Package: mleur) :
MLE or LSE for AR(1) parameter.
Fast exact computation of the MLE for AR(1) by solving the likelihood equation. The sample mean correction is used, so the method is not strickly speaking exact but the name derives from the fact that if the mean is known and was used instead of the sample mean the estimate would be an exact MLE estimate of the parameter in the AR(1) model. It has been shown that effect of estimating the sample mean is negligible.
● Data Source:
CranContrib
● Keywords: ts
● Alias: ar1est
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testStatUM
(Package: mleur) :
unit root MLE test statistic
Computes the MLE unit root test statistic.
● Data Source:
CranContrib
● Keywords: ts
● Alias: testStatUM
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mleur-package
(Package: mleur) :
Maximum likelihood unit root test
Support for mle unit root tests
● Data Source:
CranContrib
● Keywords: package, ts
● Alias: mleur-package
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