Hello
I don't know any direct procedure to test if a time series is mean
reverting but if you rely on the fact that a stationnary time series has
the property to be mean reverting, then just test for stationnarity. R
has many unit root and stationnarity tests for this in packages urca,
uroot and tseries.
Matthieu
kennylin nthu a écrit :
> Dear all:
> Does anybody know the function in R with which we can
> test the mean reverting property of a time series?
> Thanks.
>
>
> Best,
> Kenny Lin
>
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