boundedur
Unit Root Tests for Bounded Time Series
Implements unit root tests for bounded time series following Cavaliere and Xu (2014) <doi:10.1016/j.jeconom.2013.08.012>. Standard unit root tests (ADF, Phillips-Perron) have non-standard limiting distributions when the time series is bounded. This package provides modified ADF and M-type tests (MZ-alpha, MZ-t, MSB) with p-values computed via Monte Carlo simulation of bounded Brownian motion. Supports one-sided (lower bound only) and two-sided bounds, with automatic lag selection using the MAIC criterion of Ng and Perron (2001) <doi:10.1111/1468-0262.00256>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.1 |
rolling linux/jammy R-4.5 | boundedur_1.0.1.tar.gz |
46.9 KiB |
1.0.1 |
rolling linux/noble R-4.5 | boundedur_1.0.1.tar.gz |
46.8 KiB |
1.0.1 |
rolling source/ R- | boundedur_1.0.1.tar.gz |
13.1 KiB |
1.0.1 |
latest linux/jammy R-4.5 | boundedur_1.0.1.tar.gz |
46.9 KiB |
1.0.1 |
latest linux/noble R-4.5 | boundedur_1.0.1.tar.gz |
46.8 KiB |
1.0.1 |
latest source/ R- | boundedur_1.0.1.tar.gz |
13.1 KiB |
1.0.1 |
2026-04-26 source/ R- | boundedur_1.0.1.tar.gz |
13.1 KiB |
1.0.1 |
2026-04-23 source/ R- | boundedur_1.0.1.tar.gz |
13.1 KiB |
1.0.1 |
2026-04-09 windows/windows R-4.5 | boundedur_1.0.1.zip |
49.6 KiB |