Implements comprehensive Merger and Acquisition ('M&A')
Autoregressive ('AR') time-series models with full statistical analysis
capabilities. The package provides parameter estimation, forecasting
with confidence intervals (80%, 90%, 95%, 99%), descriptive statistics,
stationarity tests (Augmented Dickey-Fuller ('ADF'), Phillips-Perron,
Kwiatkowski-Phillips-Schmidt-Shin ('KPSS'),
Dickey-Fuller Generalized Least Squares ('DF-GLS')), autocorrelation
analysis (Autocorrelation Function ('ACF'),
Partial Autocorrelation Function ('PACF')), model diagnostics
(Ljung-Box, Box-Pierce), accuracy measures
(Mean Squared Error ('MSE'), Mean Absolute Error ('MAE'),
Mean Absolute Scaled Error ('MASE'),
Root Mean Squared Error ('RMSE'),
Symmetric Mean Absolute Percentage Error ('SMAPE'), F-statistic),
residual diagnostics (normality tests, heteroscedasticity tests),
model stability analysis, impulse response, information criteria
(Akaike Information Criterion ('AIC'),
Bayesian Information Criterion ('BIC'),
Hannan-Quinn Information Criterion ('HQIC')),
structural break analysis, spectral analysis, and Monte Carlo simulation.
Models are based on:
Kumar, Mudassir, and Agiwal (2024)
< https://ph02.tci-thaijo.org/index.php/thaistat/article/view/253436>,
Kumar, Mudassir, and Srivastava (2025)