boundedur
1.0.1Unit Root Tests for Bounded Time Series
Overview
Implements unit root tests for bounded time series following Cavaliere and Xu (2014) doi:10.1016/j.jeconom.2013.08.012. Standard unit root tests (ADF, Phillips-Perron) have non-standard limiting distributions when the time series is bounded. This package provides modified ADF and M-type tests (MZ-alpha, MZ-t, MSB) with p-values computed via Monte Carlo simulation of bounded Brownian motion. Supports one-sided (lower bound only) and two-sided bounds, with automatic lag selection using the MAIC criterion of Ng and Perron (2001) doi:10.1111/1468-0262.00256.
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- NOTE r-devel-linux-x86_64-debian-gcc
- NOTE2026-08-0112 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
- OK2026-03-175 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
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- Examples that run
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- Documented parameters
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- Return-value docs
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- References docs
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Code & Tests
People & History
1 release. R releases are shown for context.
- RR 4.6.0 released · 2026-04-24
- 1.0.1Latest2026-03-16 · current release
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2026-03-16
- Total releases
- 1 / 1 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Download size
- not tracked yet
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- With dependencies
- not tracked yet