Hi there,
Does anyone know if R has a function for testing whether a time series is
stationary??
Thanks in advance,
Wayne
Dr Wayne R. Jones
Statistician / Research Analyst
KSS Group plc
St James's Buildings
79 Oxford Street
Manchester M1 6SS
Tel: +44(0)161 609 4084
Mob: +44(0)7810 523 713
KSS Ltd
A division of Knowledge Support Systems Group plc
Seventh Floor St James's Buildings 79 Oxford Street Manchester M1 6SS
England
Company Registration Number 2800886 (Limited) 3449594 (plc)
Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305
mailto:kssg@kssg.com http://www.kssg.com
The information in this Internet email is confidential and may b... {{dropped}}
Richard A. Bilonick
2003-Apr-17 15:52 UTC
[R] Using Coefficients Estimated from arima function using xreg argument
Does anyone know how to write the ARIMA time series model based on coefficients estimated using the arima function with argumetn xreg? I can exactly reproduce the corresponding forecasts manually to match predict.Arima for simple AR(p) models. But if I add just one exogenous variable with xreg to an AR(1) model for the dependent time series, I cannot get the manual forecast to match predict.Arima with newxreg argument. The help file for arima does not write out the model for the case of using xreg. What am I missing? Rick B.
> Subject: [R] Testing for Stationarity of time series > Date: Thu, 17 Apr 2003 15:52:43 +0100 > From: Wayne Jones <JonesW at kssg.com> > To: "'r-help at stat.math.ethz.ch'" <r-help at stat.math.ethz.ch> > > Hi there, > > Does anyone know if R has a function for testing whether a time series is > stationary??kpss.test related tests are pp.test and adf.test all from tseries> Thanks in advance, > > Wayne > > Dr Wayne R. Jones > Statistician / Research Analyst > KSS Group plc > St James's Buildings > 79 Oxford Street > Manchester M1 6SS > Tel: +44(0)161 609 4084 > Mob: +44(0)7810 523 713 > > KSS Ltd > A division of Knowledge Support Systems Group plc > Seventh Floor St James's Buildings 79 Oxford Street Manchester M1 6SS England > Company Registration Number 2800886 (Limited) 3449594 (plc) > Tel: +44 (0) 161 228 0040 Fax: +44 (0) 161 236 6305 > mailto:kssg at kssg.com http://www.kssg.com > > The information in this Internet email is confidential and may b... {{dropped}}best Adrian -- Dr. Adrian Trapletti Phone : +41 (0) 1 994 5631 Trapletti Statistical Computing Mobile: +41 (0)76 370 5631 Wildsbergstrasse 31 Fax : +41 (0) 1 994 5631 CH-8610 Uster Email : mailto:a.trapletti at bluewin.ch Switzerland WWW : http://trapletti.homelinux.com