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

John Frain 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

Best Regards


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
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

John C Frain
Trinity College Dublin
Dublin 2
mailto:frainj at tcd.ie
mailto:frainj at gmail.com

More information about the R-SIG-Finance mailing list