stest function

Computes a Few Stationarity Tests.

This is a wrapper for three functions from tseries package. Augmented Dickey-Fuller (ADF, adf.test), Phillips-Perron (PP, pp.test) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS, kpss.test) tests for stationarity are performed.

stest(data)

Arguments

• data: matrix of variables, different columns correspond to different variables

Returns

matrix, tests statistics and p-values are given by columns, tests outcomes for different variables are ordered by rows

Examples

wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- drivers[-1,]
ld.drivers[,c(4,6)] <- (diff(drivers[,c(4,6)]))[-1,]
ld.drivers[,c(1:2,5,7)] <- (diff(log(drivers[,c(1:2,5,7)])))[-1,]
ld.drivers[,c(3,6)] <- ld.drivers[,c(3,6)]/100
x <- cbind(ld.wti,ld.drivers)
stest(x)