Date: Tue, 31 Aug 2010 14:37:16 -0700 (PDT)
From: rtist <patwarner2...@yahoo.com>
To: r-help@r-project.org
Subject: Re: [R] Detecting Growth Trends
Message-ID: <1283290636694-2402347.p...@n4.nabble.com>
Content-Type: text/plain; charset=us-ascii
If the test rejects the null, then it has determined that the new set of
incoming data is no longer purely oscillatory in the mean reverting sense
(it is now unit root and exhibits growth). Unless I misinterpreted, the OP
wants to find a statistical method to determine such behavior beyond purely
eyeballing the data stream.
Since I assume the OP is also referring to a dynamic data stream, one could
simply run the test with a sliding window and use the p result to determine
if the regime is changing from mean reverting to growth.
I'm not sure how an alternate form of regression fitting says anything about
the question as I interpreted it (although, hopefully the poster can
respond).
--
Hi,
No intention of starting a flamewar and thanks for the many suggestions.
Indeed in my case I am not looking for a fit, but, as you nicely put it,
for something a bit more on the quantitative side than eyeballing.
Many thanks
Lorenzo
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