[Rcpp-devel] Rolling ADF test

[Sameer D'Costa]

On Wed, Feb 12, 2014 at 2:58 AM, Hideyoshi Maeda
<hideyoshi.maeda at gmail.com>wrote:

> Dear Rcpp-devel list,
>
> Wasn't sure if this got sent last time as I didn't get a response.
>

For next time, you can check the archives if you are not sure if your
message was sent to the list.
http://lists.r-forge.r-project.org/pipermail/rcpp-devel/2014-February/thread.html


> I am looking to carry out a fixed window length rolling ADF test (with no
> intercept), over some time series data currently in xts format.
>
> To do this I need to first fit a regression to the data, then use the
> residuals as an input into the ADF test, from which I can get a p-value to
> see if I can reject the idea of the data having a unit root or not.
>
> I know I can use fastLm() from RcppArmadillo for the regression, and I
> know that the ADF test also runs an OLS regression as part of it too, I
> would have assumed finding unit roots to be a reasonably common use, but
> currently can't find any "out of the box" functions that carry out C++
> optimised ADF tests, are there any that can easily be sourced/included into
> Rcpp?
>

I haven't come across any "out of the box" optimized rolling regression
functions. For now I have been using the TTR package to do simple efficient
rolling regressions. See my answer to this question
http://stackoverflow.com/questions/11873123/rolling-regression-over-multiple-columns-in-r

I'd be interested in contributing some using Rcpp/Armadillo if someone can
tell me which package they would fit in. If we had a versatile rolling
regression function it could be made to do efficient rolling ADF tests as
well.

HTH

Regards
Sameer
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/rcpp-devel/attachments/20140212/89bc29f5/attachment.html>