bootUR: An R Package for Bootstrap Unit Root Tests

Research output: Working paperProfessional

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 (ADF) test, 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 OpenMP-parallelized efficient C++ implementation ensures that all unit root tests are scalable to datasets containing many time series.
Original languageEnglish
PublisherarXiv.org at Cornell University Library
Publication statusPublished - 23 Jul 2020

Publication series

SeriesarXiv e-prints
Number2007.12249

Keywords

  • bootstrap
  • R
  • time series
  • unit roots

Research Output

bootUR: Bootstrap Unit Root Tests

Smeekes, S. & Wilms, I., 25 Jun 2020

Research output: Non-textual formSoftwareAcademic

Cite this

Smeekes, S., & Wilms, I. (2020). bootUR: An R Package for Bootstrap Unit Root Tests. arXiv.org at Cornell University Library. arXiv e-prints, No. 2007.12249 https://arxiv.org/abs/2007.12249