Displaying 20 results from an estimated 500 matches similar to: "tseries "adf.test""
2003 Jun 10
1
Regression output labels
Hello to all-
1. When I run a regression which implements the augmented Dickey-Fuller
test, I am confused about the names given to the regressors in the output.
I understand what "xGE" stands for in a standard "lm" test involving an
independent variable GE for instance, but if I lags and or differences are
included in the model, what do the following "output" stand
2007 Feb 13
1
lag orders with ADF.test
Hello!
I do not understand what is meant by:
"aic" and "bic" follow a top-down strategy based on the Akaike's and Schwarz's information criteria
in the datails to the ADF.test function. What does a "top-down strategy" mean? Probably the respective criterion is minimized and the mode vector contains the lag orders at which the criterion attains it
2009 Jun 09
1
Using ADF.Test
Hi,
I am quite new to R and would appreciate some guidance, if possible.
I have imported a csv file: spread <- read.csv("Spread.csv")
I get the following error when I try to run adf.test:
> adf.test(spread,alternative = c("stationary", "explosive"),0)
Error in embed(y, k) : 'x' is not a vector or matrix
Why is this?
--
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2007 Jan 18
2
problem in adf command
this command is used in tseries
adf.test(x, alternative = c("stationary", "explosive"),
k = trunc((length(x)-1)^(1/3)))
this command apply adf test on data given in x .here general
equatiuon
that is, equation with constant and trend is used.if i did not include
constant or trend in the equation and run the
command then how i can run this command in tseries.
2008 Dec 08
1
About adf.test
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,
2013 Apr 30
1
ADF test --time series
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
2006 Aug 28
1
Help on function adf.test
Hello everybody,
I've got a matrix called EUROPEDATA and I want to calculate the adf test statistic (part of the tseries package) on a rolling basis for window my.win on each column; i.e. each column of EUROPEDATA represents a particular variable; for the first column I calculate the adf test statistic for window my.win = 60 for example, roll forward one observation, calculate the adf
2010 Feb 17
0
adf.test help
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)
>
2007 Feb 13
0
adf test: trend, no drift - rep: invalid 'times' argument
Hello!
I am applying the ADF.test function from package uroot to a time series of data. When I apply the full test, incorporating drift and trend terms, the regressor estimate of the drift term is not significantly different from zero. So I apply the test to a model without drift term, with deterministic trend only. But then I always get the following error:
2009 Jun 05
1
ADF test
Hi,
While doing the ADF test in R using the following command I am getting the
error and the result..">
x.ct=ur.df(rev$REVENUE,start=1,end=length(rev$REVENUE),frequency=1)
Error in ur.df(rev$REVENUE, start = 1, end = length(rev$REVENUE), frequency
= 1) :
unused argument(s) (start = 1, end = 4, frequency = 1)
>
2009 Nov 10
0
How to do ADF test and KPSS test in R
Dear all,
How to do ADF test ¡¢KPSS¡¢ PP¡¢GLS test in R£¿
Thanks a lot !
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2005 Sep 14
0
adf test and cross-correlation with missing values
Dear List,
I have multiple time series, all of which (excepting 1) have missing
values. These run for ~30 years, with monthly sampling. I need to
determine stationarity, and have tried to use the Augmented Dickey-Fuller
test (adf.test), but this cannot handle missing values. The same problem
occurs when attempting cross-correlation (ccf).
Could someone please suggest any suitable functions in
2010 Jan 03
1
ADF test : how to deal with the missing values ?
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This is MIME Epilogue
2010 Apr 14
0
ur.df ADF Unit Root Test: what is the meaning of phi1 and phi2 test statistic?
Hello,
I am using the ur.df function from the {arca} package to run the augmented
Dickey-Fuller unit root test on several time series. However; I do not
understand the econometric interpretation of the the "phi1" and "phi2"
test-statisitc which are output if you choose a "trend" or "drift" model. I
looked at the source code for the function but I do not
2007 Aug 16
2
ADF test
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
2013 Mar 22
4
error while extracting the p-value from adf.test
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]
2011 Mar 03
2
Multivariate Granger Causality Tests
Dear Community,
For my masters thesis I need to perform a multivariate granger causality
test. I have found a code for bivariate testing on this page
(http://www.econ.uiuc.edu/~econ472/granger.R.txt), which I think would not
be useful for the multivariate case. Does anybody know a code for a
multivariate granger causality test. Thank you in advance.
Best Regards
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2008 Jan 10
1
question regarding kpss tests from urca, uroot and tseries packages
Hi R users!
I've come across using kpss tests for time series analysis and i have a question that troubles me since i don't have much experience with time series and the mathematical part underlining it.
x<-c(253, 252, 275, 275, 272, 254, 272, 252, 249, 300, 244,
258, 255, 285, 301, 278, 279, 304, 275, 276, 313, 292, 302,
322, 281, 298, 305, 295, 286, 327, 286, 270, 289, 293, 287,
2004 Aug 19
0
Shorewall 2.1.5
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Hash: SHA1
http://shorewall.net/pub/shorewall/2.1/shorewall-2.1.5
ftp://shorewall.net/pub/shorewall/2.1/shorewall-2.1.5
This completes the implementation of Kernel 2.6 IPSEC support in Shorewall.
Documentation is still minimal -- see the releasenotes and
http://shorewall.net/IPSEC-2.6.html
- -Tom
- --
Tom Eastep \ Nothing is foolproof to a sufficiently
1999 Sep 20
0
Updated tseries package
Fritz just put the updated tseries package to CRAN. I mainly removed
(and corrected) code such that tseries fits together with package ts.
New code is White's and Teraesvirta's tests for neglected non-linearity
(also for the regression case). From the INDEX file:
NelPlo Nelson-Plosser Macroeconomic Time Series
adf.test Augmented Dickey-Fuller Test
amif