Title

flexur -- Flexible unit-root, stationarity and variance-break tests
for time series

Description

flexur is a library of time-series tests that share a common design:
robustness to structural breaks, flexible (Fourier) deterministics, non-normal
errors (RALS augmentation) and heavy-tailed / conditionally heteroskedastic data.
Each command produces journal-style tables and plots and cross-linked help with a
companion methods page.

Its panel-data counterpart is the xtflexur library.

Commands

command

Variance / volatility breaks
icss ICSS test for changes in the unconditional variance
(Sansó, Aragó & Carrion-i-Silvestre 2004): IT, kappa1, kappa2

Stationarity
covstat Jansson-RALS covariate stationarity test with non-normal
errors (Nazlioglu, Lee, Karul & You 2021)

Additional flexur commands (Fourier ADF/LM, RALS ADF/LM, ...) are documented
under their own help files.

Common conventions

o Tests read the time dimension from tsset when available.

o Results are returned in r(); every reported quantity is stored for
tabulation.

o graph draws a diagnostic figure in a clean journal scheme.

o Each command has a companion methods page: help cmd methods.

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane