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MathGroup Archive 2009

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Stationarity tests - Dickey-Fuller, Phillips-Perron

  • To: mathgroup at smc.vnet.net
  • Subject: [mg96210] Stationarity tests - Dickey-Fuller, Phillips-Perron
  • From: hayes.tyler at gmail.com
  • Date: Mon, 9 Feb 2009 05:36:02 -0500 (EST)

Hello All:

I am trying to find out if there exists a mathematica function to test
for Stationarity which yields results from something like an Augmented
Dickey-Fuller test, or the Phillips-Perron test explicitly. I do have
the Time Series package and see the StationaryQ function, but I do not
know the method employed by that function. Basically, I'm looking to
analyze for stationarity given a list of data, rather than a known/
modelled AR (or similar process)....

Any suggestions are greatly appreciated.

Cheers,

t.


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