MathGroup Archive 2009

[Date Index] [Thread Index] [Author Index]

Search the Archive

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.


  • Prev by Date: Re: How to get position of string in a mixed list? (string pattern
  • Next by Date: Re: Directory[]
  • Previous by thread: Re: How to get position of string in a mixed list? (string pattern
  • Next by thread: Re: How to get position of string in a mixed list?