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.
翻译:单位根测试是任何时间序列分析的一个基本部分。 我们为从业者提供了一个单一的统一框架, 用于在 R 软件包中进行全面和可靠的单位根测试 。 软件包的主干线是流行的增强的Dickey- Fuller测试, 配有拒绝原则结合, 直接在单一时间序列或多个时间序列( 包括面板) 中进行。 通过使用靴套方法可以确保准确的推论。 软件包满足两个新用户的需要, 提供方便用户和易于执行的默认功能, 提供明智的默认选项, 以及专家用户, 给予用户充分控制, 将测试调整到个人想要的设置。 我们平行的 C+++ 实施确保所有单位根测试都可缩放到包含许多时间序列的数据集 。