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

[John Frain]

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

Best Regards

John

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?
> Thanks.
>
>
> Best,
> Kenny Lin
>
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-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:frainj at tcd.ie
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