Unit root & cointegration
69 methods in this family.
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ARDL Bounds TestThe ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and SAugmented Dickey-Fuller TestThe Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling.Augmented Dickey-Fuller unit root testThe Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. ItBreitung TestThe Breitung test, introduced by Jörg Breitung in 2000, is a nonparametric panel unit-root test designed to assess whether all cross-sectional units in a balanced panel share a comCADF TestThe Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence aCIPS TestThe CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that
All methods 69
ARDL Bounds TestAugmented Dickey-Fuller TestAugmented Dickey-Fuller unit root testBreitung TestCADF TestCIPS TestCointegration TestCS-ARDLCS-NARDLDF-GLS TestDynamic OLSEngle-Granger Cointegration TestERS Point-Optimal TestFisher Panel Unit-Root TestFourier ADF unit root testFourier ARDL Bounds TestFourier Engle-Granger cointegrationFourier Johansen cointegrationFourier KPSS testFourier PP unit root testFourier Zivot-Andrews testGregory-Hansen TestHatemi-J Cointegration TestIm-Pesaran-Shin TestKPSS TestLee-Strazicich TestLevin-Lin-Chu TestLumsdaine-Papell TestMaki Cointegration TestNonlinear ADF Unit Root TestNonlinear ARDLNonlinear Engle-Granger CointegrationNonlinear KPSS TestNonlinear PP unit root testNonlinear Zivot-Andrews testPanel ADF Unit Root TestPanel ARDL Bounds TestPanel Cointegration TestsPanel DF-GLSPanel Engle-Granger CointegrationPanel Johansen CointegrationPanel KPSS testPanel NARDLPanel PP unit root testPanel Zivot-Andrews testPANICPhillips-Ouliaris TestPhillips-Perron TestPhillips-Perron unit root testRobust ADF Unit Root TestRobust Engle-Granger CointegrationRobust Johansen CointegrationRobust KPSS testRobust PP Unit Root TestRobust Zivot-Andrews testStructural Break ADF Unit Root TestStructural break Engle-Granger cointegrationStructural Break KPSS TestStructural break PP unit root testStructural break Zivot-Andrews testTime-varying parameter ADF unit root testTime-varying parameter ARDL bounds testTime-varying parameter Engle-Granger cointegrationTime-varying parameter KPSS testTime-varying parameter PP unit root testTime-varying parameter Zivot-Andrews testYield Line TheoryZivot-Andrews Structural Break TestZivot-Andrews Test