Put your time series into a ts or zoo object. Now using
EuStockMarkets which is builtin data set in R. (You might
want to use align = "right" in rollapply.)
library(tseries)
library(zoo)
eu91 <- window(EuStockMarkets, end = 1992) # use portion for test data
eu91.p.value <- rollapply(eu91, 61, f
Hello everybody,
I've got a matrix called EUROPEDATA and I want to calculate the adf test
statistic (part of the tseries package) on a rolling basis for window my.win on
each column; i.e. each column of EUROPEDATA represents a particular variable;
for the first column I calculate the adf t
