statsmodels.tsa.stattools.range_unit_root_test¶

statsmodels.tsa.stattools.range_unit_root_test(x, store=False)[source]¶

Range unit-root test for stationarity.

Computes the Range Unit-Root (RUR) test for the null hypothesis that x is stationary.

Parameters:¶

xarray_like, 1d

The data series to test.

storebool

If True, then a result instance is returned additionally to the RUR statistic (default is False).

Returns:¶

rur_statfloat

The RUR test statistic.

p_valuefloat

The p-value of the test. The p-value is interpolated from Table 1 in Aparicio et al. (2006), and a boundary point is returned if the test statistic is outside the table of critical values, that is, if the p-value is outside the interval (0.01, 0.1).

critdict

The critical values at 10%, 5%, 2.5% and 1%. Based on Aparicio et al. (2006).

resstore(optional) instance of ResultStore

An instance of a dummy class with results attached as attributes.

Notes

The p-values are interpolated from Table 1 of Aparicio et al. (2006). If the computed statistic is outside the table of critical values, then a warning message is generated.

Missing values are not handled.

References

[1]

Aparicio, F., Escribano A., Sipols, A.E. (2006). Range Unit-Root (RUR) tests: robust against nonlinearities, error distributions, structural breaks and outliers. Journal of Time Series Analysis, 27 (4): 545-576.