The fixed data tests sooner than expected series dossier are the most low idea to forge the model with an autoregressive (AR) model, exciting average (MA) model, autoregressive moving average (ARMA) model, and autoregressive joined moving average (ARIMA) model. In this unit, we present the tseries package in the R program to search stationary dossier on the time succession. This package offers Augmented Dickey-Fuller (ADF), Kwiatkowski-Phillips-Schmidt-Shin (KPSS), and Phillips-Perron (PP) tests. Three tests likewise provide the enumerations test and p-value to elect the acceptance or refusal of the null hypothesis. This division also aims to present the forethought of these tests proposes gradual and the available systematize commands under similar period series dossier. The performance of these tests considers the odds of type I error and the capacity of the test. The time series dossier in this study is fake from the stationary in term of chance walk process and non-stationary in term of MA model. This imitation is also transported to recommend that the consumer select the appropriate stationarity tests. The R program employs to pretend and analyzes dossier on 1,000 replications for several sample sizes. The imitation results showed that the ADF and PP tests take care of control the best odds of type I error on non-fixed time succession data. For the capacity of the test, ADF and PP tests give the capital power of the test on fixed time order data.
Author(s) Details:
Autcha Araveeporn,
Department of Statistics, School of Science,
King Mongkut’s Institute of Technology Ladkrabang, Bangkok-10520, Thailand.
Somsri
Banditvilai,
Department
of Statistics, School of Science, King Mongkut’s Institute of Technology
Ladkrabang, Bangkok-10520, Thailand.
Please see the link here: https://stm.bookpi.org/RHST-V1/article/view/10377
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