[R] Detecting Growth Trends
lorenzo.isella at gmail.com
Wed Sep 1 12:24:44 CEST 2010
> Date: Tue, 31 Aug 2010 14:37:16 -0700 (PDT)
> From: rtist <patwarner2424 at yahoo.com>
> To: r-help at r-project.org
> Subject: Re: [R] Detecting Growth Trends
> Message-ID: <1283290636694-2402347.post at n4.nabble.com>
> Content-Type: text/plain; charset=us-ascii
> 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
No intention of starting a flamewar and thanks for the many suggestions.
Indeed in my case I am not looking for a fit, but, as you nicely put it,
for something a bit more on the quantitative side than eyeballing.
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