Rmetrics - Modelling Trends and Unit Roots

Provides four addons for analyzing trends and unit roots in financial time series: (i) functions for the density and probability of the augmented Dickey-Fuller Test, (ii) functions for the density and probability of MacKinnon's unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an 'urca' Unit Root Test Interface for Pfaff's unit root test suite.


Reference manual

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3042.79 by Tobias Setz, a year ago


Browse source code at https://github.com/cran/fUnitRoots

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb]

Documentation:   PDF Manual  

Task views:

GPL (>= 2) license

Imports urca, graphics, methods, stats, utils

Depends on timeDate, timeSeries, fBasics

Suggests RUnit

Suggested by MaxMC.

See at CRAN