aTSA: stationary.test – R documentation

Pricing

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Get Started for Free

Documentation

aTSA

stationary.test

Stationary Test for Univariate Time Series

Description

Performs stationary test for a univariate time series.

Usage

stationary.test(x, method = c("adf", "pp", "kpss"), nlag = NULL,
  type = c("Z_rho", "Z_tau"), lag.short = TRUE, output = TRUE)

Arguments

`x`	a numeric vector or univariate time series.
`method`	a character indicating which test to use. The default is `"adf"` by Augmented Dickey-Fuller test.
`nlag`	the lag order to calculate the test statistic, only valid for `method = "adf"`. See `adf.test` for more details.
`type`	the test type, only valid for `method = "pp"`. See `pp.test` for more details.
`lag.short`	a logical value, only valid for `method = "pp"` or `"kpss"`. See `pp.test` and `kpss.test` for more details.
`output`	a logical value indicating to print the results in R console. The default is `TRUE`.

Details

This function combines the existing functions adf.test, pp.test and kpss.test for testing the stationarity of a univariate time series x.

Value

The results are the same as one of the adf.test, pp.test, kpss.test, depending on which test are used.

Note

Missing values are removed.

Author(s)

Debin Qiu

Examples

x <- arima.sim(list(order = c(1,0,0),ar = 0.2),n = 100)
stationary.test(x)  # same as adf.test(x)
stationary.test(x, method = "pp") # same as pp.test(x)
stationary.test(x, method = "kpss") # same as kpss.test(x)

aTSA

Alternative Time Series Analysis

v3.1.2

GPL-2 | GPL-3

Authors

Debin Qiu

Initial release

2015-06-19

stationary.test

Description

Usage

Arguments

Details

Value

Note

Author(s)

Examples

aTSA

We don't support your browser anymore