similar to: Dickey-Fuller Test

Short question: Is it possible to use statistical tests, like the Augmented Dickey-Fuller test, in functions with for-loops? If not, are there any alternative ways to scale measures? Detailed explanation: I am working with time-series, and I want to flag curves that are not stationary and which display pulses, trends, or level shifts. >df DATE ID VALUE2012-03-06 1

R has a Dickey-Fuller Test implementation (adf.test) that tests for unit roots in an autoregressive process with a constant and linear trend. Is there a DF implementation that doesn't use the constant or trend? Thanks, Jake. -- View this message in context: http://www.nabble.com/Dickey-Fuller-Tests-with-no-constant-and-no-trend-tp23565210p23565210.html Sent from the R help mailing list

Dear Users, please help with the following DF test: ===== library(tseries) library(timeSeries) Y=c(3519,3803,4332,4251,4661,4811,4448,4451,4343,4067,4001,3934,3652,3768 ,4082,4101,4628,4898,4476,4728,4458,4004,4095,4056,3641,3966,4417,4367 ,4821,5190,4638,4904,4528,4383,4339,4327,3856,4072,4563,4561,4984,5316 ,4843,5383,4889,4681,4466,4463,4217,4322,4779,4988,5383,5591,5322,5404

Hi, While doing the adf test using ur.df ?price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC") summary(price.df2)? It gives two values for ?value of test statistic is: -1.5992?? 2.32? one value is the t-test (or t-ratio), what is the other one? Please help. TIA Aditya

Dear WizaRds, dear Thomas, First of all, I want to tell you how grateful I am for all your support. I wish I will be able to help others along one day the same way you do. Thank you so much. I am struggling with a multistage sampling design: library(survey) multi3 <- data.frame(cluster=c(1,1,1,1 ,2,2,2, 3,3), id=c(1,2,3,4, 1,2,3, 1,2), nl=c(4,4,4,4, 3,3,3, 2,2), Nl=c(100,100,100,100,

Hi all, I tried to do a Dickey Fuller test with R using adf.test with a time series of german stock prices. I have 10 stocks from 1985 to 2009 with monthly stock prices. So if you do the math I have 289 values for each stock. I tried to do the test for each stock alone and had the 289 values of my first stock listed in R. When I tried to do the test with command adf.test(x, k=1) the following

Hi All, I'm new to R and am trying to run a unit root test on the vector "y" (a time series of inflation (i.e. changes in the Consumer Price Index quarter on quarter)). I've run the Augmented-Dickey-Fuller Test below (R's URCA package). It gives me an error that it cannot find the function ur.df unless I comment out the third last line of code (see below). I try to call

Hello,   Could someone help me please and to tell how to get the probability from empirical DENSITY (not parametric) for each data value (R function). For example, for normal distribution there is such a function like:   “dnorm(q, mean = 0, sd = 1, lower.tail = TRUE, log.p = FALSE)”   I need the same function only for the empirical DENSITY function (which does not correspond to any typical

I have a need to build a time series and there are a couple of aspects about the time series object that are confusing me. First it seems that ts.union is not doing what I would expect. For example: x0 <- rep(0,10) x1 <- rep(1,10) xt0 <- ts(x0, frequency=10) xt1 <- ts(x1, frequency=10) st2 <- ts.union(xt0, xt1) > xt2 Time Series: Start = c(1, 1) End = c(1, 10) Frequency = 10

Hi, I am using oggz-chop in the ubuntu jaunty, am I doing something wrong? $ oggz-chop -o yt1.ogv -s0 -e500 ondrej.ogv Segmentation fault gdb session doesn't reveal much, since it isn't compiled with debugging symbols: (gdb) bt #0 0x00007f9e5d2f0092 in memcpy () from /lib/libc.so.6 #1 0x0000000000403698 in ?? () #2 0x000000000040262e in ?? () #3 0x000000000040285d in ?? () #4

Hi all, Can anyone clear my doubts about what conclusions to take with the following what puts 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)

I am having difficulty understanding how I would constrain a data set by filtering out 'records' based on certain criteria. Using SQL I could query using 'select * from my.data where LithClass in ('sand', 'clay')' or some such. Using subset, there seem to be ghosts left behind (that is, all of the LithClass *.Labels* remain after subset) > dput(tcc)

Hi all, Hope you people do not feel irritated for repeatedly sending mail on Time series. Here I got another problem on the same, and hope I would get some answer from you. I have following dataset: data[,1] [1] 4.96 4.95 4.96 4.96 4.97 4.97 4.97 4.97 4.97 4.98 4.98 4.98 4.98 4.98 4.99 4.99 5.00 5.01 [19] 5.01 5.00 5.01 5.01 5.01 5.01 5.02 5.01 5.02 5.02 5.03 5.03 5.03

I have and XTS time series object that has date and time. I started with 1 minute data and used apply.daily(x, sum) to sum the data to one cumulative value. This function works just fine however it leaves a time for the last summed value which looks like this 2006-07-19 14:58:00. I need to just have the date and to remove the time value of 14:58:00 just leaving the date value of 2006-07-19 .

hi, i'm new in R and i need some help. Please, ¿do you know a function how can process cross tables for many variables and show the result in one table who look like this?: +----------------------------------------------------+ |------------------ | X variable | |----------------- | Xop1 | Xop2 | Xop3|.....| +----------------------------------------------------+ |Yvar1 |

Hi all, I was running the adf test in R. CODE 1: adf.test(data$LOSS) Augmented Dickey-Fuller Test data: data$LOSS Dickey-Fuller = -1.9864, Lag order = 2, p-value = 0.5775 alternative hypothesis: stationary CODE 2: adf.test(diff(diff(data$LOSS))) Augmented Dickey-Fuller Test data: diff(diff(data$LOSS)) Dickey-Fuller = -6.9287, Lag order = 2, p-value = 0.01 alternative

Dear R users, I have a function (below) which encompasses several tests. However, when I run it, only the output of the last test is displayed. How can I ensure that the function root(var) will run and display the output from all tests, and not just the last one? Thank you, b. root <- function(var) { #---Phillips-Perron PP.test(var, lshort = TRUE) PP.test(var, lshort = FALSE)

Hi R-users, I am using arima to fit a time series. Now I would like to include an intervention component "It (0 before intervention, 1 after)" using different types of impacts, that is, not only trying the simple abrupt permanent impact (yt = w It ) with the xreg option but also trying with a gradual permanent impact (yt= d * yt-1 + w * It ), following the filosophy of Box and Tiao

Hello all, I tried to extract the p-value from adf.test in tseries; however, I got the error message such as > ht=adf.test(list.var$aa) > ht$p-value Error in ht$p - value : non-numeric argument to binary operator > ht Augmented Dickey-Fuller Test data: list.var$aa Dickey-Fuller = -2.3147, Lag order = 4, p-value = 0.4461 alternative hypothesis: stationary > ht$data [1]

Here are another three problems with logarithmic scales: 1) segments() does not work with logarithmic scales. I suggest to change lines 962-973 in "plot.c": for (i = 0; i < n; i++) { if (FINITE(xt(x0[i%nx0])) && FINITE(yt(y0[i%ny0])) && FINITE(xt(x1[i%nx1])) && FINITE(yt(y1[i%ny1]))) { GP->col = INTEGER(col)[i % ncol];