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mleur (version 1.0-6)

Maximum likelihood unit root test

Description

Provides functions for unit root testing using MLE method

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Version

Install

install.packages('mleur')

Monthly Downloads

56

Version

1.0-6

License

GPL (>= 2)

Maintainer

A.I. McLeod

Last Published

December 12th, 2013

Functions in mleur (1.0-6)

mleur-package

Maximum likelihood unit root test
mleurDiag

Diagnostic checks for mleur test
ar1est

MLE or LSE for AR(1) parameter. Sample mean correction used in MLE case. Intercept term estimated in LSE case.
mctest

Monte-Carlo unit root test
simar1

Simulate AR(1)
dftest

Dickey-Fuller test
vel

Velocity of money, 1869-1970, Nelson
testStatUM

unit root MLE test statistic
mleur

Fast exact MLE unit root test
GetPower

Simulation function to compute power for AR(1) alternative
DiffBA

Bond yield differences, annual