[R] How to implement an iterative unit root test
Bernd Dittmann
herrdittmann at yahoo.co.uk
Sat Apr 8 16:07:08 CEST 2006
Thank you for your suggestion, Andy.
Luckily, the fMultivar package has already implemented such a "rolling"
function: "rollFun".
Thus I tried the following:
myfunction <- function(x, n = 5)
{
rollFun(x = x, n = n, FUN = adfTest)
}
This however does not return the tau values (or alternatively, the
p.values) I am looking for.
How do I need to define the function FUN to obtain these values?
Many thanks!
Sincerely,
Bernd
Andy Bunn schrieb:
> Does this get you started?
>
> library(tseries)
> ?adf.test
> foo <- matrix(rnorm(1000),ncol=10,nrow=100)
> bar <- apply(foo,2,adf.test)
> sapply(bar, "[[", "statistic")
> sapply(bar, "[[", "p.value")
>
>
> HTH, Andy
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Bernd Dittmann
> Sent: Wednesday, April 05, 2006 8:58 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] How to implement an iterative unit root test
>
>
> Hello,
>
> How can an interative unit root test be implemented in R?
> More specifically, given a time series, I wish to perform the Dickey
> Fuller Test on a daily basis for say the last 100 observations. It would
> be interative in the sense that this test would be repeated each day for
> the last 100 observations.
> Given the daily Dickey Fuller estimates of delta for the autoregressive
> process
>
> d(Y(t)) = delta * Y(t-1) + u(t)
>
> , the significance of delta would be computed. If possible, I would like
> to extract that value and record it in a table, that is a table
> containing the tau-values of a each day's calculations.
>
>
> How can such a test be done in R? More specifically, how can it be
> programmed to iteratively perform the test and also how to extract the
> t-values on a daily basis?
>
>
> Thank you.
>
> Sincerely,
>
> Bernd Dittmann
>
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