On Wed, Feb 12, 2014 at 2:58 AM, Hideyoshi Maeda <hideyoshi.ma...@gmail.com>wrote:
> Dear Rcpp-devel list, > > Wasn't sure if this got sent last time as I didn't get a response. > For next time, you can check the archives if you are not sure if your message was sent to the list. http://lists.r-forge.r-project.org/pipermail/rcpp-devel/2014-February/thread.html > I am looking to carry out a fixed window length rolling ADF test (with no > intercept), over some time series data currently in xts format. > > To do this I need to first fit a regression to the data, then use the > residuals as an input into the ADF test, from which I can get a p-value to > see if I can reject the idea of the data having a unit root or not. > > I know I can use fastLm() from RcppArmadillo for the regression, and I > know that the ADF test also runs an OLS regression as part of it too, I > would have assumed finding unit roots to be a reasonably common use, but > currently can't find any "out of the box" functions that carry out C++ > optimised ADF tests, are there any that can easily be sourced/included into > Rcpp? > I haven't come across any "out of the box" optimized rolling regression functions. For now I have been using the TTR package to do simple efficient rolling regressions. See my answer to this question http://stackoverflow.com/questions/11873123/rolling-regression-over-multiple-columns-in-r I'd be interested in contributing some using Rcpp/Armadillo if someone can tell me which package they would fit in. If we had a versatile rolling regression function it could be made to do efficient rolling ADF tests as well. HTH Regards Sameer
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