[R] time series tests

From: <pedrosmarques_at_portugalmail.pt>
Date: Sat, 8 Dec 2007 22:00:15 +0000

Citando pedrosmarques_at_portugalmail.pt:

>
> Hi all,
>
> Can anyone clear my doubts about what conclusions to take with the following
> outputs of some time series tests:
>
> > adf.test(melbmax)
>
> Augmented Dickey-Fuller Test
>
> data: melbmax
> Dickey-Fuller = -5.4075, Lag order = 15, p-value = 0.01
> alternative hypothesis: stationary
>
> Warning message:
> p-value smaller than printed p-value in: adf.test(melbmax)
>
>
>
> >adf.test(melbmax,k=0,alternative="stationary")
>
> Augmented Dickey-Fuller Test
>
> data: melbmax
> Dickey-Fuller = -24.4069, Lag order = 0, p-value = 0.01
> alternative hypothesis: stationary
>
> Warning message:
> p-value smaller than printed p-value in: adf.test(melbmax, k = 0, alternative
> = "stationary")
>
>
> > pp.test(melbmax,alternative="stationary")
>
> Phillips-Perron Unit Root Test
>
> data: melbmax
> Dickey-Fuller Z(alpha) = -1124.030, Truncation lag parameter = 9,
> p-value = 0.01
> alternative hypothesis: stationary
>
> Warning message:
> p-value smaller than printed p-value in: pp.test(melbmax, alternative =
> "stationary")
>
>
> > Box.test(melbmax)
>
> Box-Pierce test
>
> data: melbmax
> X-squared = 1893.093, df = 1, p-value < 2.2e-16
>
>
> > Box.test(melbmax,type="Ljung-Box")

>
> Box-Ljung test
>
> data: melbmax
> X-squared = 1894.650, df = 1, p-value < 2.2e-16
>
> > kpss.test(melbmax)
>
> KPSS Test for Level Stationarity
>
> data: melbmax
> KPSS Level = 0.1163, Truncation lag parameter = 13, p-value = 0.1
>
> Warning message:
> p-value greater than printed p-value in: kpss.test(melbmax)
>
>
> > x=time(melbmax)
> > y=as.vector(melbmax)
> > melbmaxsaz=lowess(x,y,f=0.05)$y
> > melbmaxtrend=lowess(x,y,f=0.5)$y
> > melbmaxres=19.19+19.21+melbmax-ts(melbmaxsaz, start=1981,

> frequency=365)-ts(melbmaxtrend, start=1981, frequency=365)
> > kpss.test(melbmaxres)
>
> KPSS Test for Level Stationarity
>
> data: melbmaxres
> KPSS Level = 0.1322, Truncation lag parameter = 13, p-value = 0.1
>
> Warning message:
> p-value greater than printed p-value in: kpss.test(melbmaxres)
> > kpss.test(melbmaxres,null="Trend")

>
> KPSS Test for Trend Stationarity
>
> data: melbmaxres
> KPSS Trend = 0.1339, Truncation lag parameter = 13, p-value = 0.07243
>
>
> Best regards
>
> ______________________________________________
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>

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Received on Sat 08 Dec 2007 - 22:17:46 GMT

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