[R] Detecting Growth Trends

rtist patwarner2424 at yahoo.com
Tue Aug 31 23:37:16 CEST 2010


If the test rejects the null, then it has determined that the new set of
incoming data is no longer purely oscillatory in the mean reverting sense
(it is now unit root and exhibits growth).  Unless I misinterpreted, the OP
wants to find a statistical method to determine such behavior beyond purely
eyeballing the data stream.
Since I assume the OP is also referring to a dynamic data stream, one could
simply run the test with a sliding window and use the p result to determine
if the regime is changing from mean reverting to growth.

I'm not sure how an alternate form of regression fitting says anything about
the question as I interpreted it (although, hopefully the poster can
respond).
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