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.