Category Archives: R

latexr: efficient compilation of dynamic reports integrating LaTeX and R

I have been working on the ideas and scripts introduced in this previous post. The result is a new set of scripts packaged in this latexR.tar.gz file. The main enhancements are the following: An environment can be assigned to each … Continue reading

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ARIMA-model-based decomposition of time series in R
The tsdecomp R package

I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMA-model-based decomposition of time series data. It is intended mainly for annual, quarterly and monthly time series. Upon an ARIMA model fitted to the observed data, the … Continue reading

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The uroot R package is back

I have recently submitted to CRAN a new version of package uroot. It is based on a older version of the package that I developed for my graduate dissertation. At present, the package implements the Canova and Hansen (CH) [1] … Continue reading

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Signal extraction in time series, as simple as that?

Frequency-domain filters provide a straightforward way to decompose a time series. In this post I briefly introduce this approach advocated by Prof. D. Stephen G. Pollock in this document that introduces the software IDEOLOG. As pointed out by Prof. Pollock, … Continue reading

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Testing for seasonal stability
Canova and Hansen test statistic

Seasonal patterns are common in many time series data (e.g. macroeconomic or meteorological data). One of the issues to be analyzed when working with seasonal data is whether the seasonal pattern remains relatively stable over the sample period or whether … Continue reading

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