[R] Stationarity of a Time Series

[Spencer Graves]

the FinTS package includes in scripts\ch02.R a comparison of 4 different 
AFD unit root functions with a published example. 

it also includes a function plotArmaTrueacf that computes the roots from 
the AR part of a theoretical or fitted model.  From this, you can see if 
any roots lie near the unit circle.  You could wrap this in a Monte 
Carlo to test for many nonstandard types of nonstationarity, e.g. 
fractional differencing.

sg

Prof Brian Ripley wrote:
> 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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>> ______________________________________________
>> R-help at r-project.org mailing list
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>>
>>     
>
>