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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install.packages("fUnitRoots")

4052.82 by Georgi N. Boshnakov, 10 months ago


https://geobosh.github.io/fUnitRootsDoc/ (doc), https://CRAN.R-project.org/package=fUnitRoots, https://www.rmetrics.org


Report a bug at https://r-forge.r-project.org/tracker/?atid=633&group_id=156&func=browse


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


Authors: Diethelm Wuertz [aut] (original code) , Tobias Setz [aut] , Yohan Chalabi [aut] , Georgi N. Boshnakov [cre] (ORCID:


Documentation:   PDF Manual  


GPL (>= 2) license


Imports timeSeries, fBasics, urca, graphics, methods, stats, utils

Suggests RUnit, interp


Suggested by MaxMC, pcts.


See at CRAN