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boundedur 1.0.0

• Initial CRAN release.

Features

• boundedur(): Main function for bounded unit root tests

  • ADF-alpha and ADF-t tests
  • M-type tests (MZ-alpha, MZ-t, MSB)
  • Monte Carlo p-value computation
  • Support for one-sided and two-sided bounds

• select_lag_maic(): MAIC lag selection (Ng & Perron, 2001)

• simulate_bounded_bm(): Bounded Brownian motion simulation

References

• Cavaliere, G., & Xu, F. (2014). Testing for unit roots in bounded time series. Journal of Econometrics, 178(2), 259-272.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.