Test statistics for mean reverting property

[kennylin nthu]

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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[Matthieu Stigler]

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
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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[John C. Frain]

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
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>
>

--
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.htm
mailto:frainj@...
mailto:frainj@...

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[Ajay Shah]

>  >    Does anybody know the function in R with which we can
>  > test the mean reverting property of a time series?

A package called "vrtest".

--
Ajay Shah
ajayshah@...
http://www.mayin.org/ajayshah
http://ajayshahblog.blogspot.com

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