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. > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ 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.
