similar to: Dickey Fuller test of a time series (problem)

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 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)

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

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

Hi All , Could you please tell using which library ,Dickey-Fuller Test can be run? Thanks a lot __________________________________________________ [[alternative HTML version deleted]]

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

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

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'm analizing the Argentina stock market (merv) I download the data from yahoo library(tseries) Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close") merv <- na.remove(log(Argentina)) I made the Augmented Dickey-Fuller test to analyse if merv have unit root: adf.test(merv,k=13) Dickey-Fuller = -1.4645,

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)

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]

I am not able to run Dickey-Fuller test. adf.test() function is not working. It is showing 'Error: could not find function "adf.test" Can any tell how to call "time series" library? -- Siddharth Arun, 4th Year Undergraduate student Industrial Engineering and Management, IIT Kharagpur [[alternative HTML version deleted]]

I have a question regarding the adf.test command in the tseries library. I have a vector of time series observations (2265 daily log prices for the OEX to be exact). I also have this same data in first-differenced form. I want to test both vectors individually for staionarity with an Augmented Dickey-Fuller test. I noticed when I use the adf.test command from the tseries library, the general

Dear sir, I am a new user of R statistical package. I want to perform adf.test(augmented dickey fuller test), which packages I need to install in order to perform it. I am getting following message on my monitor. *x<-rnorm(1000) > adf.test(x) Error: could not find function "adf.test" *I am waiting for your response. Kamlesh Kumar. -- Kamlesh Kumar Appt. No. - QQ420,

Hi, I'm using the ADF.test function in the uroot package to obtain an adfstat-class object. I'm wondering how I can extract the values (test statistic, p value, etc.) from this class, since it doesn't seem to have usual values. I get the following summary, but I'm not sure how to do anything with these values -- how can I put the number into another variable? --------- ------ -

I am confused by obtaining different results when testing for unit root when using different packages. I have 2625 price entries for which I want to determine whether they exhibit unit root. First I test using adf.test from tseries package by running: > adf.test(P, k=30) Augmented Dickey-Fuller Test data: P Dickey-Fuller = -4.685, Lag order = 30, p-value = 0.01 alternative hypothesis:

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. I am still a newbie in R. Excuse me if I am asking something obvious. My efforts to get an answer through browsing the mailing archives failed. I want to perform an augmented Dickey-Fuller test and to obtain AIC and BIC and to be able to impose some linear restrictions on the ADF regression so as to decide the correct order of autoregression. However I could find no obvious way to impose

Hi, I am trying to test whether a series is return series stationary, but before proceeding I wanted to make sure I understand correctly how to use the adf.test function and interpret its output... Could you please let me know whether I am correct in my interpretations? ex: I take x such as I know it doesn't have a unit root, and is therefore stationary 1/ > x <- rnorm(1000) >

Hello, How can an interative unit root test be implemented in R? More specifically, given a time series, I wish to perform the Dickey Fuller Test on a daily basis for say the last 100 observations. It would be interative in the sense that this test would be repeated each day for the last 100 observations. Given the daily Dickey Fuller estimates of delta for the autoregressive process d(Y(t))