[R-SIG-Finance] Test statistics for mean reverting property
frainj at tcd.ie
Wed Apr 16 10:51:30 CEST 2008
If your H0 is mean reverting have a look at the KPSS test which is
also implemented in urca. For most of the unit root tests H0 is that
there is a unit root and the series is non-stationary. If you are
using urca have a look at the book 'Analysis of integrated and
cointegrated time series with R', Springer by Bernhard Pfaff who is
responsible for the urca package
On 16/04/2008, kennylin nthu <kennylin at nthu.us> wrote:
> Dear all:
> Does anybody know the function in R with which we can
> test the mean reverting property of a time series?
> Kenny Lin
> R-SIG-Finance at stat.math.ethz.ch mailing list
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John C Frain
Trinity College Dublin
mailto:frainj at tcd.ie
mailto:frainj at gmail.com
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