Re: [R] Dickey Fuller Test

2010-10-29 Thread Pfaff, Bernhard Dr.
: [R] Dickey Fuller Test Dear Users, please help with the following DF test: = library(tseries) library(timeSeries) Y=c(3519,3803,4332,4251,4661,4811,4448,4451,4343,4067,4001,3934,3652,3768 ,4082,4101,4628,4898,4476,4728,4458,4004,4095,4056,3641,3966,4417,4367

Re: [R] Dickey Fuller Test

2010-10-29 Thread Cuckovic Paik
Thanks a lot for your answers, Dennis and Bernhard! -- View this message in context: http://r.789695.n4.nabble.com/Dickey-Fuller-Test-tp3018408p3019544.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing

[R] Dickey Fuller Test

2010-10-28 Thread Cuckovic Paik
Dear Users, please help with the following DF test: = library(tseries) library(timeSeries) Y=c(3519,3803,4332,4251,4661,4811,4448,4451,4343,4067,4001,3934,3652,3768 ,4082,4101,4628,4898,4476,4728,4458,4004,4095,4056,3641,3966,4417,4367

Re: [R] Dickey Fuller Test

2010-10-28 Thread Dennis Murphy
Hi: Since the series is obviously nonstationary and periodic, it would seem that one should embrace a wider window over which to evaluate the DF test. I did the following: y - ts(Y, frequency = 12) # looked like an annual series to me plot(stl(y, 'periodic')) # very informative!!

Re: [R] Dickey–Fuller test in R

2010-08-23 Thread Gavin Simpson
On Mon, 2010-08-23 at 08:18 +0530, Aditya Damani wrote: Hi, While doing the adf test using ur.df “price.df2=ur.df(y=log(price),type = drift, selectlags=AIC) summary(price.df2)” It gives two values for “value of test statistic is: -1.5992 2.32” one value is the t-test (or t-ratio), what

[R] Dickey–Fuller test in R

2010-08-22 Thread Aditya Damani
Hi, While doing the adf test using ur.df “price.df2=ur.df(y=log(price),type = drift, selectlags=AIC) summary(price.df2)” It gives two values for “value of test statistic is: -1.5992   2.32” one value is the t-test (or t-ratio), what is the other one? Please help. TIA Aditya

Re: [R] Dickey Fuller test of a time series (problem)

2010-02-09 Thread sarathsv
i also having the problem with R . R version 2.10.0 (2009-10-26) Copyright (C) 2009 The R Foundation for Statistical Computing ISBN 3-900051-07-0 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or

[R] Dickey Fuller test of a time series (problem)

2009-03-20 Thread Matthias Brink
Hi all, I tried to do a Dickey Fuller test with R using adf.test with a time series of german stock prices. I have 10 stocks from 1985 to 2009 with monthly stock prices. So if you do the math I have 289 values for each stock. I tried to do the test for each stock alone and had the 289 values

Re: [R] Dickey Fuller test of a time series (problem)

2009-03-20 Thread Wolfgang Koller
The argument 'x' of adf.test should not only be a vector but also a numeric vector (see ?adf.test). Have a closer look at your data and how they are stored. What does is.numeric(x) give? I guess that originally your data are stored as a data frame. Converting a data.frame to a vector is not