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melbmax
2007 Dec 08
2
time series tests
...ionarity
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 th...