Thanks Paul, you are right; if the trend is stronger it's revealed by the adfTest.
As a follow-up question: Does anyone know if a test exists that would reveal a weaker trend in the data? Regards, -Mark- 2011/1/19 Paul Teetor <[email protected]> > Mark, > > The adfTest with type="nc" works for me. I think your trend time series is > not "trendy" enough. When I change the assignment statement to this: > > trend=notrend+(row(notrend)*.4) # Change 0.04 to 0.4 > > and execute this: > > adfTest(coredata(trend), lag=0, type='nc')@test$p.value > > I get a p-value of 0.98. > > > Paul Teetor, Elgin, IL USA > http://quanttrader.info/public > > > ------------------------------ > *From:* Mark Breman <[email protected]> > *To:* [email protected] > *Sent:* Wed, January 19, 2011 4:38:56 AM > *Subject:* [R-SIG-Finance] Howto test for true stationarity with adfTest() > > Hi everyone, > > I want to test for true stationarity (not trend-stationarity) in my > timeseries. I understand that i can't use the adf.test(), because it > de-trends the series. > Indeed, i can verify this: > > > notrend=xts(rnorm(100), Sys.Date()-100:1) > > trend=notrend+(row(notrend)*.04) > > adf.test(coredata(notrend), alternative="stationary", k=0)$p.value > [1] 0.01 > > adf.test(coredata(trend), alternative="stationary", k=0)$p.value > [1] 0.01 > > The p-values are the same so it's not usable for my purpose. > > I'm told i can use the adfTest() from package fUnitRoots instead because > this test does not de-trend the series. > So i try: > > library(fUnitRoots) > > > adfTest(coredata(notrend), lag=0, type='c')@test$p.value > 0.01 > > adfTest(coredata(trend), lag=0, type='c')@test$p.value > 0.01 > > Again, the p-values are the same!? Changing the type parameter (to 'ct' or > 'nc') does not help either (it gives the same p-values). > What am i doing wrong here? > > Thanks, > > -Mark- > > [[alternative HTML version deleted]] > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
