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:
x : array_like, 1d

The data series to test.

store : bool

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

Returns:

  • rur_stat (float) – The RUR test statistic.

  • p_value (float) – 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).

  • crit (dict) – 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