the FinTS package includes in scripts\ch02.R a comparison of 4 different AFD unit root functions with a published example.
it also includes a function plotArmaTrueacf that computes the roots from the AR part of a theoretical or fitted model. From this, you can see if any roots lie near the unit circle. You could wrap this in a Monte Carlo to test for many nonstandard types of nonstationarity, e.g. fractional differencing. sg Prof Brian Ripley wrote: > On Tue, 22 Jan 2008, Pfaff, Bernhard Dr. wrote: > > >> Hello Stephen, >> >> stationarity tests as well as unit root tests have been implemented in a >> couple of packages. For instance, as already mentioned: tseries, but >> also uroot, fUnitRoots and urca. See the annotated task view >> "Econemtrics" and "Finance" for further information. >> > > But note that these tests apply to just a few ways in which a series might > be non-stationary: they all seem an econmetrician's view of possible > non-stationarity. > > In the end stationarity is a modelling assumption: it depends on what > might have happened but did not. E.g. a sine wave process is stationary > if and only if it has a random (uniform) phase, and you cannot tell that > from a single realization. > > 'Anna Karenina applies'[*] (as to most pure significance tests). > > [*] Google it if you need elucidation. > > >> Best, >> Bernhard >> >> >>> kpss.test in the tsereis package should do the trick >>> >>> On Jan 21, 2008 12:36 PM, stephen sefick <[EMAIL PROTECTED]> wrote: >>> >>> >>>> Does anyone know of a test for stationarity of a time series, or like >>>> all ordination techniques it is a qualitative assessment of a >>>> quantitative result. Books, papers, etc. suggestions welcome. >>>> thanks >>>> >>>> Stephen >>>> >>>> -- >>>> Let's not spend our time and resources thinking about things that are >>>> so little or so large that all they really do for us is puff >>>> >>> us up and >>> >>>> make us feel like gods. We are mammals, and have not exhausted the >>>> annoying little problems of being mammals. >>>> >>>> >>>> >>> -K. Mullis >>> >>>> ______________________________________________ >>>> R-help@r-project.org mailing list >>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>> PLEASE do read the posting guide >>>> http://www.R-project.org/posting-guide.html >>>> and provide commented, minimal, self-contained, reproducible code. >>>> >>>> >>> [[alternative HTML version deleted]] >>> >>> ______________________________________________ >>> R-help@r-project.org mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >>> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >>> >> ***************************************************************** >> Confidentiality Note: The information contained in this ...{{dropped:10}} >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> >> > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
