HDTSA

Procedures for high-dimensional time series analysis including factor analysis proposed by Lam and Yao (2012) doi:10.1214/12-AOS970 and Chang, Guo and Yao (2015) doi:10.1016/j.jeconom.2015.03.024, martingale difference test proposed by Chang, Jiang and Shao (2021) preprint, principal component analysis proposed by Chang, Guo and Yao (2018) doi:10.1214/17-AOS1613, identifying conintegration proposed by Zhang, Robinson and Yao (2019) doi:10.1080/01621459.2018.1458620, unit root test proposed by Chang, Cheng and Yao (2021) doi:10.1093/biomet/asab034 and white noise test proposed by Chang, Yao and Zhou (2017) doi:10.1093/biomet/asw066.