ndiffs

0th

Percentile

Number of differences

Uses a unit root test to determine the number of differences required for time series x. If test="kpss", the KPSS test is used with the null hypothesis that x has a stationary root against a unit-root alternative. Then the test returns the least number of differences required to pass the test at the level alpha. If test="adf", the Augmented Dickey-Fuller test is used and if test="pp" the Phillips-Perron test is used. In both of these cases, the null hypothesis is that x has a unit root against a stationary root alternative. Then the test returns the least number of differences required to fail the test at the level alpha.

Keywords
ts
Usage
ndiffs(x, alpha=0.05, test=c("kpss","adf", "pp"))
Arguments
x
A univariate time series
alpha
Level of the test
test
Type of unit root test to use
Value

  • An integer.

Aliases
  • ndiffs
Examples
ndiffs(WWWusage)
Documentation reproduced from package forecast, version 2.09, License: GPL (>= 2)

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