ndiffs
Number of differences required for a stationary series
Functions to estimate the number of differences required to make a given time series stationary. ndiffs
estimates the number of first differences and nsdiffs
estimates the number of seasonal differences.
- Keywords
- ts
Usage
ndiffs(x, alpha=0.05, test=c("kpss","adf", "pp"), max.d=2)
nsdiffs(x, m=frequency(x), test=c("ocsb","ch"), max.D=1)
Arguments
- x
- A univariate time series
- alpha
- Level of the test
- m
- Length of seasonal period
- test
- Type of unit root test to use
- max.d
- Maximum number of non-seasonal differences allowed
- max.D
- Maximum number of seasonal differences allowed
Details
ndiffs
uses a unit root test to determine the number of differences required for time series x
to be made stationary. 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
.
nsdiffs
uses seasonal unit root tests to determine the number of seasonal differences required for time series x
to be made stationary (possibly with some lag-one differencing as well). If test="ch"
, the Canova-Hansen (1995) test is used (with null hypothesis of deterministic seasonality) and if test="ocsb"
, the Osborn-Chui-Smith-Birchenhall (1988) test is used (with null hypothesis that a seasonal unit root exists).
Value
References
Canova F and Hansen BE (1995) "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability", Journal of Business and Economic Statistics 13(3):237-252.
Dickey DA and Fuller WA (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association 74:427-431.
Kwiatkowski D, Phillips PCB, Schmidt P and Shin Y (1992) "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root", Journal of Econometrics 54:159-178.
Osborn DR, Chui APL, Smith J, and Birchenhall CR (1988) "Seasonality and the order of integration for consumption", Oxford Bulletin of Economics and Statistics 50(4):361-377.
Osborn, D.R. (1990) "A survey of seasonality in UK macroeconomic variables", International Journal of Forecasting, 6:327-336.
Said E and Dickey DA (1984), "Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order", Biometrika 71:599-607.
See Also
Examples
nsdiffs(log(AirPassengers))
ndiffs(diff(log(AirPassengers),12))