stationarity_test {BRVM}R Documentation

Stationarity test with univariate data

Description

Performs different types of stationarity test.

Usage

stationarity_test(x, type.test)

Arguments

x

a numeric vector or time series.

type.test

character such as "Box-Pierce and Ljung-Box","Kwiatkowski-Phillips-Schmidt-Shin (KPSS)", "Augmented Dickey-Fuller Test (ADF)", "Phillips-Perron Unit Root Test"

Value

a number that indicates the P-value of the stationarity test

Author(s)

Koffi Frederic SESSIE

See Also

normality_test

Other Test: normality_test()

Other BRVM: BRVM.index(), BRVM_cap(), BRVM_company_cap(), BRVM_company_rank(), BRVM_company_url(), BRVM_index_stock(), BRVM_index(), BRVM_market_activity(), BRVM_plot(), BRVM_stock_market(), BRVM_ticker_desc(), BRVM_traded_val(), company_cap(), company_country(), company_nbrank(), company_sector(), company_traded_val(), normality_test()

Examples


library(tseries)

# one and a half week stock index
# data including a weekend
y <-ts(c(5353.08,5409.24,5315.57,5270.53, 5211.66,NA,NA,5160.80,5172.37,5160.80,5172.37))

stationarity_test(y, "Box-Pierce and Ljung-Box")



[Package BRVM version 5.0.0 Index]