Re: [R] Stationarity of a Time Series

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Tue, 22 Jan 2008 08:54:00 -0000

Hello Stephen,

stationarity tests as well as unit root tests have been implemented in a couple of packages. For instance, as already mentioned: tseries, but also uroot, fUnitRoots and urca. See the annotated task view "Econemtrics" and "Finance" for further information.

Best,
Bernhard

>
>kpss.test in the tsereis package should do the trick
>
>On Jan 21, 2008 12:36 PM, stephen sefick <ssefick_at_gmail.com> wrote:
>
>> Does anyone know of a test for stationarity of a time series, or like
>> all ordination techniques it is a qualitative assessment of a
>> quantitative result. Books, papers, etc. suggestions welcome.
>> thanks
>>
>> Stephen
>>
>> --
>> Let's not spend our time and resources thinking about things that are
>> so little or so large that all they really do for us is puff
>us up and
>> make us feel like gods. We are mammals, and have not exhausted the
>> annoying little problems of being mammals.
>>
>>
> -K. Mullis
>>
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>
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