[R-SIG-Finance] Test statistics for mean reverting property

Matthieu Stigler stigler3 at etu.unige.ch
Wed Apr 16 08:43:06 CEST 2008


I don't know any direct procedure to test if a time series is mean 
reverting but if you rely on the fact that a stationnary time series has 
the property to be mean reverting, then just test for stationnarity. R 
has many unit root and stationnarity tests for this in packages urca, 
uroot and tseries.


kennylin nthu a écrit :
> Dear all:
>    Does anybody know the function in R with which we can
> test the mean reverting property of a time series?
> Thanks.
> Best,
> Kenny Lin
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