Packages on CRAN:
DisaggregateTS with Luke Mosley
Scroll down for instructions for installing the packages.
In what follows, I provide a general guideline using which these packages were generated. Some other useful resources include a manual developed by Boshnakov that provides a step by step guide for inserting references in Rd and roxygen2 documentation, as well as a blog by Hilary Parker in which you will find a detailed version of the coded instructions below.
This package contains the nonparametric signed and signed-rank test statistics developed by Professor. Jean-Marie Dufour and his co-authors. At its current state, the codes in the package have yet to be reviewed by the authors of the papers. This package will be sent to CRAN upon passing rigorous testing and reviews. The functions in the package include the:
Exact Signed and Signed-Rank tests of Campbell and Dufour (1995)
Exact Signed and Signed-Rank tests of Campbell and Dufour (1997)
Exact Signed and HAC-Corrected Signed tests of Coudin and Dufour (2009)
Exact Point-Optimal Sign-Based tests of Dufour and Taamouti (2010)
Instructions Manual [PDF]
This package allows the user to generate data from a predictive regression with a single regressor and no intercept. The regressor is assumed to follow an AR(1) process with no deterministic trends or intercept. The contemporaneous correlation parameter between the errors of the predictive regression and that of the regressors, as well as the autocorrelation coefficient of the predictor are to be set by the investigator, allowing to construct the type of feedback studied by Mankiw and Shapiro (1986) . The perturbations considered for this package have been inspired by those used in the Monte Carlo simulation studies of Campbell and Dufour (1997) , Coudin and Dufour (2009) and Dufour and Taamouti (2010) among others. The perturbations considered in the package exhibit the following distributions:
Standard Normal
Cauchy
Student's t with 2 degree of freedom
Mixture of Cauchy and Normal
Standard Normal with break in variance
Normal with exponential variance
Normal with stationary GARCH(1,1) variance
Instructions Manual [PDF]