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. >
Apart from the "drift" type of nonstationarity, other types would be .. (i) seasonality; (ii) local changes in mean-level; (iii) local changes in correlation; (iv) local changes in variability. Some of these might be made formally stationary as above. David Jones ______________________________________________ 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.
