Unit root tests

Source: R/features.R

Performs a test for the existence of a unit root in the vector.

unitroot_kpss(x, type = c("mu", "tau"), lags = c("short", "long", "nil"), ...)

unitroot_pp(
  x,
  type = c("Z-tau", "Z-alpha"),
  model = c("constant", "trend"),
  lags = c("short", "long"),
  ...
)

Arguments

x

A vector to be tested for the unit root.

type

Type of deterministic part.

lags

Maximum number of lags used for error term correction.

...

Arguments passed to unit root test function.

model

Determines the deterministic part in the test regression.

Value

A vector of numeric features for the test's statistic and p-value.

Details

unitroot_kpss computes the statistic for the Kwiatkowski et al. unit root test with linear trend and lag 1.

unitroot_pp computes the statistic for the Z-tau version of Phillips & Perron unit root test with constant trend and lag 1.