[R] Stationarity of a Time Series

[Prof Brian Ripley]

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 <ssefick at gmail.com> 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
>>>
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>>
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> ______________________________________________
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
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