ergod.test.lsd {LSDsensitivity} | R Documentation |
Stationarity and ergodicity tests
Description
Perform a set of stationarity and ergodicity tests useful for simulation model data from a Monte Carlo experiment time series. The included tests are: Augmented Dickey-Fuller test (ADF), Phillips-Perron test (PP), Kwiatkowski-Phillips-Schmidt-Shin test (KPSS), Brock-Dechert-Scheinkman test (BDS), Kolmogorov-Smirnov k-sample test (KS), Anderson-Darling k-sample test (AD) and Wald-Wolfowitz k-sample test (WW).
Usage
ergod.test.lsd( data, vars = dimnames( data )[[ 2 ]],
start.period = 0, signif = 0.05, digits = 2,
ad.method = c( "asymptotic", "simulated", "exact" ) )
Arguments
data |
a three-dimensional array, as the ones produced by |
vars |
a vector of the variable names (as strings) contained in |
start.period |
integer: the first time step in |
signif |
numeric in [0, 1]: statistical significance to evaluate the tests rejection of the null-hypothesis. The default value is 0.05 (5%). |
digits |
integer: the number of significant digits to show in results. The default is 2. |
ad.method |
a string in |
Details
This function is a wrapper to the functions adf.test
, kpss.test
and bds.test
in tseries
package, PP.test
and ks.test
in stats-package
and ad.test
in kSamples-package
.
Value
The function returns a data frame presenting both the average test statistics and the frequency of test null-hypothesis rejections for all the variables selected in vars
.
Null hypothesis (H0) for ADF and PP tests is non-stationarity of the time series. Null hypothesis (H0) for KPSS test is stationarity of the time series. Null hypothesis (H0) for BDS test the time series is i.i.d.. Null hypothesis (H0) for KS, AD and WW tests is ergodicity of the time series.
Author(s)
NA
See Also
list.files.lsd()
, read.3d.lsd()
in LSDinterface-package
,
adf.test()
, bds.test()
, kpss.test()
,
PP.test()
, ks.test()
in stats-package()
,
ad.test()
in kSamples-package
Examples
# get the list of file names of example LSD results
library( LSDinterface )
files <- list.files.lsd( system.file( "extdata", package = "LSDsensitivity" ),
"Sim1.lsd", recursive = TRUE )
# Steps to use this function:
# 1. load data from a LSD simulation saved results using a read.xxx.lsd
# function from LSDinterface package (read.3d.lsd, for instance)
# 2. use ergod.test.lsd to apply the tests on the relevant variables,
# replacing "var2", "var3" etc. with your data
# read data from Monte Carlo runs
dataSet <- read.3d.lsd( files )
tests <- ergod.test.lsd( dataSet, # the data set to use
c( "var2", "var3" ), # the variables to test
signif = 0.01, # use 1% significance
digits = 4 ) # show results using 4 digits
print( tests )