If your H0 is mean reverting have a look at the KPSS test which is
also implemented in urca. For most of the unit root tests H0 is that
there is a unit root and the series is non-stationary. If you are
using urca have a look at the book 'Analysis of integrated and
cointegrated time series with R', Springer by Bernhard Pfaff who is
responsible for the urca package
Best Regards
John
On 16/04/2008, kennylin nthu <
kennylin@...> wrote:
> 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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--
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:
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