Software and Code

bootUR: R Package for Bootstrap Unit Root Tests

The R package bootUR, co-authored with Ines Wilms, is available on CRAN and GitHub. In this package we implement several bootstrap unit root, both for univariate and multivariate time series, including (but not limited to) all the unit root tests proposed in my papers. For details see the manual or the accompanying working paper.

The package encompasses all code available below that relates to unit root testing in a coherent and user-friendly way.  As a consequence, all bootstrap unit root testing codes below are not updated anymore, as I will only keep the package up to date.

Questions and comments on the bootUR package are welcome via my GitHub page (issues tab). To cite the package in your research, use the command citation("bootUR") in R.

desla: R Package for Desparsified Lasso Inference for Time Series

The R package desla, developed by Robert Adamek, is available on CRAN and GitHub. This package allows for inference in high-dimensional time series models via the desparsified lasso as proposed in the papers "Lasso inference for high-dimensional time series" and "Local projection inference in high dimensions".

specs: R Package for the Single-Equation Penalized Error-Correction Selector

The R package specs, developed by Etienne Wijler, is available on CRAN and GitHub. In this package the Single-Equation Penalized Error-Correction Selector (SPECS) from the paper "An automated approach towards sparse single-equation cointegration modelling" is implemented. The data from the paper are also included.

HDGCvar: R Package for Granger Causality Testing in High-Dimensional Vector Autoregressive Models

The R package HDGCvar, developed by Luca Margaritella, is available on GitHub. This package allows for testing Granger causality in high-dimensional vector autoregressive models (VARs) as proposed in the paper "Granger causality testing in high-dimensional VARs: a Post-Double-Selection procedure" and "Inference in non-stationary high-dimensional VARs".

Individual Codes (not in an R package)

Legacy Codes (superseded by bootUR)