jeudi 18 janvier 2018

Test in R for checking if the trend is stochastic or deterministic

I'm working at time series model and I have problems with understand which times series is stationary with deterministic trend and which with stochastic trend. I used adf.test, kpss.test, Box.test, PP.test but they test only stationarity, not deterministic/stochastic things. I'm looking for test/function in R that gives answer if the trend is stochastic or deterministic :)

I was thinking about kpss.test, but I dont know how to interpret the results.

Description Computes the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test for the null hypothesis that x is level or trend stationary. Usage kpss.test(x, null = c("Level", "Trend"), lshort = TRUE) Arguments x a numeric vector or univariate time series. null indicates the null hypothesis and must be one of "Level" (default) or "Trend". You can specify just the initial letter. lshort a logical indicating whether the short or long version of the truncation lag parameter is used.

Thanks!

Aucun commentaire:

Enregistrer un commentaire