Packages on CRAN:
DisaggregateTS with Luke Mosley
Install DisaggregateTS from CRAN using install.packages("DisaggregateTS").
The example below outlines how to build an R package. Further resources include Georgi Boshnakov’s guide to references in Rd and roxygen2 documentation and Hilary Parker’s guide to writing an R package.
This package contains the nonparametric sign and signed-rank test statistics developed by Professor Jean-Marie Dufour and his co-authors. The functions include:
Exact sign and signed-rank tests of Campbell and Dufour (1995)
Exact sign and signed-rank tests of Campbell and Dufour (1997)
Exact sign and HAC-corrected sign tests of Coudin and Dufour (2009)
Exact point-optimal sign-based tests of Dufour and Taamouti (2010)
Legacy research software. The previous public downloads are no longer available. For enquiries, please contact me.
This package generates data from a predictive regression with a single regressor and no intercept. The regressor follows an AR(1) process without a deterministic trend or intercept. The user sets the contemporaneous correlation between the regression and predictor errors and the predictor's autoregressive coefficient, allowing feedback of the type studied by Mankiw and Shapiro (1986). The error distributions draw on the simulation designs of Campbell and Dufour (1997), Coudin and Dufour (2009) and Dufour and Taamouti (2010). Available designs include:
Standard normal
Cauchy
Student’s t with 2 degrees of freedom
Mixture of Cauchy and normal
Standard normal with a break in variance
Normal with exponential variance
Normal with stationary GARCH(1,1) variance
Legacy research software. The previous public downloads are no longer available. For enquiries, please contact me.