Differences of Multiple Time Series

Performs differencing of multiple time series, with possibly different orders for each time series.

Usage

diff_mult(data, d, keep_NAs = TRUE)

Arguments

data

A (\(T\)x\(N\))-matrix of \(N\) time series with \(T\) observations. Data may also be in a time series format (e.g. ts, zoo or xts) or data frame.

d

An \(N\)-dimensional vector containing the orders

keep_NAs

Logical indicator whether or not to keep the NA values resulting from differencing at the beginning of the sample. Default is TRUE. If FALSE, the entire row containing the NA values is removed.

Value

The appropriately differenced data in the same format as the original data.

References

Smeekes, S. and Wilms, I. (2023). bootUR: An R Package for Bootstrap Unit Root Tests. Journal of Statistical Software, 106(12), 1-39.