stest: Computes a Few Stationarity Tests.

In fDMA: Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes

Computes a Few Stationarity Tests.

Description

This is a wrapper for three functions from tseries package. Augmented Dickey-Fuller (ADF, adf.test), Phillips-Perron (PP, pp.test) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS, kpss.test) tests for stationarity are performed.

Usage

stest(data)

Arguments

data	matrix of variables, different columns correspond to different variables

Value

matrix, tests statistics and p-values are given by columns, tests outcomes for different variables are ordered by rows

Examples

wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
x <- cbind(ld.wti,ld.drivers)
stest(x)

fDMA documentation built on July 26, 2023, 6:09 p.m.