The uroot Package

uroot: Unit Root Tests in Seasonal Time Series.

The uroot and partsm
R-Packages:
Some Functionalities for Time Series Analysis
Javier López-de-Lacalle

Universidad del Paı́s Vasco (Bilbao, Spain)

The uroot and partsm R-Packages ´

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The uroot Package The uroot Package

uroot: Unit Root Tests in Seasonal Time Series. uroot: Unit Root Tests in Seasonal Time Series.
HEGY.test(): Test for the null hypothesis of HEGY.test(): Test for the null hypothesis of
non-stationary seasonal cycles. non-stationary seasonal cycles.
CH.test(): Test for the null hypothesis of
stationary seasonal cycles.

The uroot and partsm R-Packages ´

Javier Lopez-de-Lacalle – p.2/8 The uroot and partsm R-Packages ´
Javier Lopez-de-Lacalle – p.2/8
The uroot Package The uroot Package

uroot: Unit Root Tests in Seasonal Time Series. uroot: Unit Root Tests in Seasonal Time Series.
HEGY.test(): Test for the null hypothesis of HEGY.test(): Test for the null hypothesis of
non-stationary seasonal cycles. non-stationary seasonal cycles.
CH.test(): Test for the null hypothesis of CH.test(): Test for the null hypothesis of
stationary seasonal cycles. stationary seasonal cycles.

References: References:
S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration
and cointegration. Journal of Econometrics, 44.

The uroot and partsm R-Packages ´

Javier Lopez-de-Lacalle – p.2/8 The uroot and partsm R-Packages ´
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The uroot Package CH-HEGY Sequence of Tests

uroot: Unit Root Tests in Seasonal Time Series. CH test

H
 HH

HEGY.test(): Test for the null hypothesis of  HH
 H
non-stationary seasonal cycles. Do not reject H0 Reject H0
CH.test(): Test for the null hypothesis of
stationary seasonal cycles. HEGY test Iω (1)
H
 HH
References:  H
S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration Do not reject H0 Reject H0
and cointegration. Journal of Econometrics, 44.
F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over
time? A test for seasonal stability. Journal of Business and Economic Non-informative Iω (0)
Statistics, 13.

The uroot and partsm R-Packages ´

Javier Lopez-de-Lacalle – p.2/8 The uroot and partsm R-Packages ´
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A Tree Widget partsm: Periodic Autoregressive Time Series Models

The package partsm fits PAR models.

Periodic integration and prediction are also
considered.

A root node is created when a time series is loaded. Transformations of the data

(logarithms, first differences, subsamples,...) can be added to the tree as a child node.

The nodes in the tree can be drilled-down or drilled-up and removed from the tree.

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partsm: Periodic Autoregressive Time Series Models partsm: Periodic Autoregressive Time Series Models

The package partsm fits PAR models.
Periodic integration and prediction are also
considered.
A PAR(p) model is defined as follows:
yt = φ1s yt−1 + ... + φps yt−p + t ,
for t = 1, 2, ..., n and being s = 1, ..., S the
seasons.
The package partsm fits PAR models.
Periodic integration and prediction are also
considered.
A PAR(p) model is defined as follows:
t ∼ iid(0, σ2 ) , yt = φ1s yt−1 + ... + φps yt−p + t , t ∼ iid(0, σ2 ) ,
for t = 1, 2, ..., n and being s = 1, ..., S the
seasons.

Reference: P.H. Franses (1996) ‘Periodicity and Stochastic Trends in

Economic Time Series’, Oxford University Press.

The uroot and partsm R-Packages ´

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Analysis Procedure 1/2 Analysis Procedure 2/2
QS
... Test for αs = 1
Test for periodicity s=1

LRurpar.test()
Fpar.test() HHH
H   H
 HH  HH
 HH  H
 H Do not reject Reject
Do not reject Reject
Test for αs = 1 ∪ −1 PAR model
QS Fpari.piar.test() fit.ar.par()
Test for s=1 αs = 1 CH-HEGY HHH

LRurpar.test()  HH
Do not reject Reject
ϕ (L) → ARMA
... arima() PARI model PIAR model
(1 − L) or (1 + L) fit.piar()
fit.ar.par() (1 − αs L)
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Directions for Further Development Directions for Further Development

Bootstrap techniques for the HEGY and CH Bootstrap techniques for the HEGY and CH
tests. tests.
Rolling statistics and leverage investigation
over them in the presence of outliers.

The uroot and partsm R-Packages ´

Javier Lopez-de-Lacalle – p.8/8 The uroot and partsm R-Packages ´
Javier Lopez-de-Lacalle – p.8/8
Directions for Further Development Directions for Further Development

Bootstrap techniques for the HEGY and CH Bootstrap techniques for the HEGY and CH
tests. tests.
Rolling statistics and leverage investigation Rolling statistics and leverage investigation
over them in the presence of outliers. over them in the presence of outliers.
Cointegration tests in PAR models for testing Cointegration tests in PAR models for testing
for more than one unit root. for more than one unit root.
Mixed AR-PAR models.

The uroot and partsm R-Packages ´

Javier Lopez-de-Lacalle – p.8/8 The uroot and partsm R-Packages ´
Javier Lopez-de-Lacalle – p.8/8