Re: [R] comparison of packages for Unit Root test

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Wed 29 Jun 2005 - 20:26:30 EST

On Wed, 29 Jun 2005 03:08:23 -0700 (PDT) Amir Safari wrote:

>
>
> Dear R Users,
>
> Could somebody please compare the packages of unit root test ( Uroot,
> Ucra, tseries and fseries ) regarding the type of test ( without
> constant and trend, with constant , and with constant and trend ) ?

IMHO, the tseries implementation is still the reference implementation for the significance tests which also have a slim interface. urca (sic!) offers some more tools in an integrated way. If you are not just interested in one test or the other, urca certainly offers much tools in a unit root analysis.
If you use the Rmetrics suite of packages, then fSeries (sic!) is probably most useful.
uroot (sic!) offers a GUI which is a bit cumbersome to set up and the output is a bit crude, e.g., doesn't offer p-values.

my 2 cent,
Z

> Regards,
> Amir Safari
>
>
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jun 29 20:35:57 2005

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