Perform a unit root test to check stationarity in a linear stochastic process.
a numeric vector or an object of the
A character string naming the desired unit root test for checking stationarity.
Valid values are
Level of the test, possible values range from 0.01 to 0.1. By default
Several different tests are available:
kpss test, the null hypothesis that
y has a stationary root
against a unit-root alternative. In the two remaining tests, the null hypothesis
y has a unit root against a stationary root alternative. By default,
alpha = 0.05 is used to select the more likely hypothesis.
a h.test class with the main results of unit root hypothesis test.
Asael Alonzo Matamoros and A. Trapletti
Dickey, D. & Fuller, W. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association. 74, 427-431.
Kwiatkowski, D., Phillips, P., Schmidt, P. & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root, Journal of Econometrics. 54, 159-178.
Phillips, P. & Perron, P. (1988). Testing for a unit root in time series regression, Biometrika. 72(2), 335-346.
Ljung, G. M. & Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika. 65, 297-303.
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