vol_unitroot: 5 tools.
| Tool | What it does | Notes |
|---|---|---|
vol_unit_root | Unit-root and stationarity tests on one series: augmented Dickey-Fuller, DF-GLS (Elliott-Rothenberg-Stock), Phillips-Perron (tau or rho), KPSS (null: stationary) and Zivot-Andrews (one structural break, dated), or the first four together with a joint verdict. | |
vol_variance_ratio | Lo-MacKinlay variance-ratio test of a random walk on a level series (log prices; transform log turns prices into log prices) at several horizons. | |
vol_cointegration_test | Residual-based cointegration tests of y on x (null: no cointegration): Engle-Granger (ADF on the cointegrating residual) or Phillips-Ouliaris (Zt, Za, Pu, Pz with a kernel long-run variance). | |
vol_cointegrating_vector | Efficient estimates of the cointegrating vector of y on x: dynamic OLS (Stock-Watson, with leads and lags of the differenced regressors), fully modified OLS (Phillips-Hansen) or canonical cointegrating regression (Park). | |
vol_unit_root_pvalue | p-value and 1/5/10% critical values of a unit-root or cointegration statistic computed elsewhere: MacKinnon response surfaces for Dickey-Fuller t and z and DF-GLS, simulated tables for KPSS, Engle-Granger and the four Phillips-Ouliaris statistics. |
fincept_describe_tool.