Package: tsexplorer 0.1.0

tsexplorer: Exploratory and Diagnostic Tools for Time Series and Forecasts

Exploratory, descriptive and diagnostic tools for univariate and multivariate time series and tools to evaluate and compare forecasts: summary statistics and gaussianity tests; sample autocorrelation functions with the Ljung and Box (1978) <doi:10.1093/biomet/65.2.297> and Monti (1994) <doi:10.2307/2337080> tests; information criteria and Granger (1969) <doi:10.2307/1912791> causality; unit root tests of Dickey and Fuller (1979) <doi:10.1080/01621459.1979.10482531> and Phillips and Perron (1988) <doi:10.1093/biomet/75.2.335>; the cointegration test of Johansen (1988) <doi:10.1016/0165-1889(88)90041-3>; heteroskedasticity tests; non-linearity tests of McLeod and Li (1983) <doi:10.1111/j.1467-9892.1983.tb00373.x>, Tsay (1986) <doi:10.1093/biomet/73.2.461> and Brock, Dechert, Scheinkman and LeBaron (1996) <doi:10.1080/07474939608800353>; spectral analysis; and forecast accuracy measures with the Diebold and Mariano (1995) <doi:10.1080/07350015.1995.10524599>, sign and Wilcoxon tests. Every tool is a pure function returning an object with print and plot methods; the graphical interfaces tooltest() and toolforecast() ('Tcl/Tk' windows or 'shiny' applications) give interactive access to all of them.

Authors:Diego J. Pedregal [aut, cre, cph], Ludwig Kanzler [ctb]