[R] Dickey Fuller test of a time series (problem)

sarathsv sarathsankarv at yahoo.com
Tue Feb 9 19:34:09 CET 2010


i also having the problem with R .


R version 2.10.0 (2009-10-26)
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ISBN 3-900051-07-0

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[Previously saved workspace restored]

> z<-rnorm(289)
> z
  [1]  2.330811003  1.504743043  1.768175890  0.629578885 -1.102466476 
1.022360003 -0.683596222  0.825797728  1.970304092
 [10] -0.434295690 -0.332111909  0.784754124  0.618029090 -0.323679397 
0.477139243  0.567437753 -0.082967056 -0.631445108
 [19] -0.599448056 -0.023043350  0.254275136  0.729704319 -0.557885077 
0.136863688  0.336083722 -0.574337438  0.489163710
 [28] -1.178968998 -0.500117153  0.194962840  1.077193868 -0.224323646 
0.830018849 -0.923133317  0.984637207 -0.967962617
 [37] -0.330364545  0.411477240  1.921856365 -0.402244385  0.287249079
-0.254981296  1.373816270  0.051474667  0.467294146
 [46] -0.084979045  1.010413164 -1.685650845 -0.225540927 -0.068473164 
0.076474205 -0.599026450  0.749528909 -0.005966977
 [55] -0.751531710 -0.566290715 -0.653128084  1.252402084 -0.475794837 
0.361830550  0.534634320  0.128657947 -0.998795343
 [64]  0.439908085 -0.616926920  0.616190407 -0.503356528 -1.571513634
-0.862492045 -0.858421322  0.379999011  0.026994800
 [73] -0.072956095  0.750615120 -0.111619011  0.073884163 -0.962739147 
0.038873386 -0.343490682  0.752229210  0.965300992
 [82] -1.604473652  1.516414656 -0.938925299 -0.709151677  0.231854623
-0.218100137  1.543797726 -0.898485417 -0.383154763
 [91]  1.676661233 -0.050011605 -0.885938130 -0.759522611  0.825827497 
0.307787209 -1.582181323  1.548739934  0.874375153
[100] -1.929437918 -1.257364398 -1.789263683 -2.143550087 -0.299557119
-0.034432098  0.523581523  1.282782038 -0.627147412
[109]  1.379406957 -1.943450866 -0.109843039 -0.186738958  1.940752202
-0.399888402  0.889084467  0.347721291  0.221675595
[118]  1.014829243  0.815928201 -1.289821785  1.086385072 -0.299486086
-0.126573107  0.527587325 -1.988292033 -0.661784968
[127] -0.739984305  0.043729158  0.780508168 -0.329149317 -0.239561967 
0.479590885  0.483343301 -1.330296792 -1.347459911
[136] -0.588658836 -0.954908406 -0.215942979 -0.079013859 -0.386107147 
1.030946757  1.352902085  1.621552841  0.951461132
[145]  0.107764563 -0.143231089  0.837469606 -0.687510567  1.376661975 
0.837165093  0.063985577  1.381120151 -0.628153036
[154] -1.144266557  1.005945165  1.085202192  0.273625164  0.022451305
-0.372955252  0.283434935 -1.174292734  1.513095774
[163] -1.406613019 -0.954491994  0.275374664 -0.404428637 -0.791690077
-0.325169327  0.859515784 -1.605660446 -0.126481055
[172] -1.163844796  0.234669024  0.694055806 -0.503758028  0.747620192
-0.490237653 -0.673188493  0.597849322  0.508355060
[181]  0.220080232  1.254662349 -1.390019760  1.036511650  0.004499064
-0.171119971  0.341759420  0.883209195  0.196981832
[190]  1.966663083 -0.472635901 -0.143698739  0.134008071  0.123061173
-0.847030934  0.478631946 -0.640264555  1.198188793
[199]  0.928747360 -1.223396075  0.042572331 -1.193181087 -0.284040641
-0.511904510 -0.591542425  0.763156940  0.649463947
[208] -0.762889670 -0.628481227  0.367263423 -0.286380274  0.354460516
-0.138982551 -1.184283483  0.489375881  1.005739798
[217]  0.267274437 -0.118960041 -1.207006456  0.461973434  0.325420233 
0.996123459  1.188010215 -2.000847324  1.043974965
[226]  0.356219212  0.620522833  3.800773985 -2.080091995  0.322824104
-1.793810727  0.492505555 -0.092310467  2.893818046
[235] -0.846021981  0.402650410 -0.426312400  1.162983880  2.076818805
-0.260109032  0.725039578  0.361726563 -0.116508468
[244]  0.820778041  1.664995327  0.361725669  0.577447944 -1.008407703 
0.390553465  0.263064760  0.915409450  0.294579966
[253]  1.478028593  1.865177412 -1.050708541 -2.071520363  0.450842362 
0.530261688  0.226103509 -0.875767768  0.255960500
[262] -0.675455904 -1.436531605 -0.715532812  0.498582850  0.463511831 
0.568583368  0.337032963 -0.314896666 -0.738982923
[271]  1.740242504  1.089138147 -0.128574330  1.834612295 -0.657243928 
0.701904808  1.550270461 -0.234375326 -0.420885683
[280]  1.845942481 -0.895760996 -0.593765244  0.586912606 -1.062899762 
0.277845308 -0.834841694 -0.614720628 -0.343506642
[289]  0.442537573
> x <- data.frame(z) 
> x
               z
1    2.330811003
2    1.504743043
3    1.768175890
4    0.629578885
5   -1.102466476
6    1.022360003
7   -0.683596222
8    0.825797728
9    1.970304092
10  -0.434295690
11  -0.332111909
12   0.784754124
13   0.618029090
14  -0.323679397
15   0.477139243
16   0.567437753
17  -0.082967056
18  -0.631445108
19  -0.599448056
20  -0.023043350
21   0.254275136
22   0.729704319
23  -0.557885077
24   0.136863688
25   0.336083722
26  -0.574337438
27   0.489163710
28  -1.178968998
29  -0.500117153
30   0.194962840
31   1.077193868
32  -0.224323646
33   0.830018849
34  -0.923133317
35   0.984637207
36  -0.967962617
37  -0.330364545
38   0.411477240
39   1.921856365
40  -0.402244385
41   0.287249079
42  -0.254981296
43   1.373816270
44   0.051474667
45   0.467294146
46  -0.084979045
47   1.010413164
48  -1.685650845
49  -0.225540927
50  -0.068473164
51   0.076474205
52  -0.599026450
53   0.749528909
54  -0.005966977
55  -0.751531710
56  -0.566290715
57  -0.653128084
58   1.252402084
59  -0.475794837
60   0.361830550
61   0.534634320
62   0.128657947
63  -0.998795343
64   0.439908085
65  -0.616926920
66   0.616190407
67  -0.503356528
68  -1.571513634
69  -0.862492045
70  -0.858421322
71   0.379999011
72   0.026994800
73  -0.072956095
74   0.750615120
75  -0.111619011
76   0.073884163
77  -0.962739147
78   0.038873386
79  -0.343490682
80   0.752229210
81   0.965300992
82  -1.604473652
83   1.516414656
84  -0.938925299
85  -0.709151677
86   0.231854623
87  -0.218100137
88   1.543797726
89  -0.898485417
90  -0.383154763
91   1.676661233
92  -0.050011605
93  -0.885938130
94  -0.759522611
95   0.825827497
96   0.307787209
97  -1.582181323
98   1.548739934
99   0.874375153
100 -1.929437918
101 -1.257364398
102 -1.789263683
103 -2.143550087
104 -0.299557119
105 -0.034432098
106  0.523581523
107  1.282782038
108 -0.627147412
109  1.379406957
110 -1.943450866
111 -0.109843039
112 -0.186738958
113  1.940752202
114 -0.399888402
115  0.889084467
116  0.347721291
117  0.221675595
118  1.014829243
119  0.815928201
120 -1.289821785
121  1.086385072
122 -0.299486086
123 -0.126573107
124  0.527587325
125 -1.988292033
126 -0.661784968
127 -0.739984305
128  0.043729158
129  0.780508168
130 -0.329149317
131 -0.239561967
132  0.479590885
133  0.483343301
134 -1.330296792
135 -1.347459911
136 -0.588658836
137 -0.954908406
138 -0.215942979
139 -0.079013859
140 -0.386107147
141  1.030946757
142  1.352902085
143  1.621552841
144  0.951461132
145  0.107764563
146 -0.143231089
147  0.837469606
148 -0.687510567
149  1.376661975
150  0.837165093
151  0.063985577
152  1.381120151
153 -0.628153036
154 -1.144266557
155  1.005945165
156  1.085202192
157  0.273625164
158  0.022451305
159 -0.372955252
160  0.283434935
161 -1.174292734
162  1.513095774
163 -1.406613019
164 -0.954491994
165  0.275374664
166 -0.404428637
167 -0.791690077
168 -0.325169327
169  0.859515784
170 -1.605660446
171 -0.126481055
172 -1.163844796
173  0.234669024
174  0.694055806
175 -0.503758028
176  0.747620192
177 -0.490237653
178 -0.673188493
179  0.597849322
180  0.508355060
181  0.220080232
182  1.254662349
183 -1.390019760
184  1.036511650
185  0.004499064
186 -0.171119971
187  0.341759420
188  0.883209195
189  0.196981832
190  1.966663083
191 -0.472635901
192 -0.143698739
193  0.134008071
194  0.123061173
195 -0.847030934
196  0.478631946
197 -0.640264555
198  1.198188793
199  0.928747360
200 -1.223396075
201  0.042572331
202 -1.193181087
203 -0.284040641
204 -0.511904510
205 -0.591542425
206  0.763156940
207  0.649463947
208 -0.762889670
209 -0.628481227
210  0.367263423
211 -0.286380274
212  0.354460516
213 -0.138982551
214 -1.184283483
215  0.489375881
216  1.005739798
217  0.267274437
218 -0.118960041
219 -1.207006456
220  0.461973434
221  0.325420233
222  0.996123459
223  1.188010215
224 -2.000847324
225  1.043974965
226  0.356219212
227  0.620522833
228  3.800773985
229 -2.080091995
230  0.322824104
231 -1.793810727
232  0.492505555
233 -0.092310467
234  2.893818046
235 -0.846021981
236  0.402650410
237 -0.426312400
238  1.162983880
239  2.076818805
240 -0.260109032
241  0.725039578
242  0.361726563
243 -0.116508468
244  0.820778041
245  1.664995327
246  0.361725669
247  0.577447944
248 -1.008407703
249  0.390553465
250  0.263064760
251  0.915409450
252  0.294579966
253  1.478028593
254  1.865177412
255 -1.050708541
256 -2.071520363
257  0.450842362
258  0.530261688
259  0.226103509
260 -0.875767768
261  0.255960500
262 -0.675455904
263 -1.436531605
264 -0.715532812
265  0.498582850
266  0.463511831
267  0.568583368
268  0.337032963
269 -0.314896666
270 -0.738982923
271  1.740242504
272  1.089138147
273 -0.128574330
274  1.834612295
275 -0.657243928
276  0.701904808
277  1.550270461
278 -0.234375326
279 -0.420885683
280  1.845942481
281 -0.895760996
282 -0.593765244
283  0.586912606
284 -1.062899762
285  0.277845308
286 -0.834841694
287 -0.614720628
288 -0.343506642
289  0.442537573
> adf<-adf.test(x,k=1)
Error: could not find function "adf.test"
> y <- c(x) 
> y
$z
  [1]  2.330811003  1.504743043  1.768175890  0.629578885 -1.102466476 
1.022360003 -0.683596222  0.825797728  1.970304092
 [10] -0.434295690 -0.332111909  0.784754124  0.618029090 -0.323679397 
0.477139243  0.567437753 -0.082967056 -0.631445108
 [19] -0.599448056 -0.023043350  0.254275136  0.729704319 -0.557885077 
0.136863688  0.336083722 -0.574337438  0.489163710
 [28] -1.178968998 -0.500117153  0.194962840  1.077193868 -0.224323646 
0.830018849 -0.923133317  0.984637207 -0.967962617
 [37] -0.330364545  0.411477240  1.921856365 -0.402244385  0.287249079
-0.254981296  1.373816270  0.051474667  0.467294146
 [46] -0.084979045  1.010413164 -1.685650845 -0.225540927 -0.068473164 
0.076474205 -0.599026450  0.749528909 -0.005966977
 [55] -0.751531710 -0.566290715 -0.653128084  1.252402084 -0.475794837 
0.361830550  0.534634320  0.128657947 -0.998795343
 [64]  0.439908085 -0.616926920  0.616190407 -0.503356528 -1.571513634
-0.862492045 -0.858421322  0.379999011  0.026994800
 [73] -0.072956095  0.750615120 -0.111619011  0.073884163 -0.962739147 
0.038873386 -0.343490682  0.752229210  0.965300992
 [82] -1.604473652  1.516414656 -0.938925299 -0.709151677  0.231854623
-0.218100137  1.543797726 -0.898485417 -0.383154763
 [91]  1.676661233 -0.050011605 -0.885938130 -0.759522611  0.825827497 
0.307787209 -1.582181323  1.548739934  0.874375153
[100] -1.929437918 -1.257364398 -1.789263683 -2.143550087 -0.299557119
-0.034432098  0.523581523  1.282782038 -0.627147412
[109]  1.379406957 -1.943450866 -0.109843039 -0.186738958  1.940752202
-0.399888402  0.889084467  0.347721291  0.221675595
[118]  1.014829243  0.815928201 -1.289821785  1.086385072 -0.299486086
-0.126573107  0.527587325 -1.988292033 -0.661784968
[127] -0.739984305  0.043729158  0.780508168 -0.329149317 -0.239561967 
0.479590885  0.483343301 -1.330296792 -1.347459911
[136] -0.588658836 -0.954908406 -0.215942979 -0.079013859 -0.386107147 
1.030946757  1.352902085  1.621552841  0.951461132
[145]  0.107764563 -0.143231089  0.837469606 -0.687510567  1.376661975 
0.837165093  0.063985577  1.381120151 -0.628153036
[154] -1.144266557  1.005945165  1.085202192  0.273625164  0.022451305
-0.372955252  0.283434935 -1.174292734  1.513095774
[163] -1.406613019 -0.954491994  0.275374664 -0.404428637 -0.791690077
-0.325169327  0.859515784 -1.605660446 -0.126481055
[172] -1.163844796  0.234669024  0.694055806 -0.503758028  0.747620192
-0.490237653 -0.673188493  0.597849322  0.508355060
[181]  0.220080232  1.254662349 -1.390019760  1.036511650  0.004499064
-0.171119971  0.341759420  0.883209195  0.196981832
[190]  1.966663083 -0.472635901 -0.143698739  0.134008071  0.123061173
-0.847030934  0.478631946 -0.640264555  1.198188793
[199]  0.928747360 -1.223396075  0.042572331 -1.193181087 -0.284040641
-0.511904510 -0.591542425  0.763156940  0.649463947
[208] -0.762889670 -0.628481227  0.367263423 -0.286380274  0.354460516
-0.138982551 -1.184283483  0.489375881  1.005739798
[217]  0.267274437 -0.118960041 -1.207006456  0.461973434  0.325420233 
0.996123459  1.188010215 -2.000847324  1.043974965
[226]  0.356219212  0.620522833  3.800773985 -2.080091995  0.322824104
-1.793810727  0.492505555 -0.092310467  2.893818046
[235] -0.846021981  0.402650410 -0.426312400  1.162983880  2.076818805
-0.260109032  0.725039578  0.361726563 -0.116508468
[244]  0.820778041  1.664995327  0.361725669  0.577447944 -1.008407703 
0.390553465  0.263064760  0.915409450  0.294579966
[253]  1.478028593  1.865177412 -1.050708541 -2.071520363  0.450842362 
0.530261688  0.226103509 -0.875767768  0.255960500
[262] -0.675455904 -1.436531605 -0.715532812  0.498582850  0.463511831 
0.568583368  0.337032963 -0.314896666 -0.738982923
[271]  1.740242504  1.089138147 -0.128574330  1.834612295 -0.657243928 
0.701904808  1.550270461 -0.234375326 -0.420885683
[280]  1.845942481 -0.895760996 -0.593765244  0.586912606 -1.062899762 
0.277845308 -0.834841694 -0.614720628 -0.343506642
[289]  0.442537573

> is.numeric(y)
[1] FALSE
> adf<-adf.test(y,k=1)
Error: could not find function "adf.test"
> k <- 1 
> y <- x[,1]
> adf<-adf.test(y,k=1)
Error: could not find function "adf.test"
> local({pkg <- select.list(sort(.packages(all.available = TRUE)))
+ if(nchar(pkg)) library(pkg, character.only=TRUE)})
Loading required package: timeDate
Warning messages:
1: package 'timeSeries' was built under R version 2.10.1 
2: package 'timeDate' was built under R version 2.10.1 
> utils:::menuInstallPkgs()
--- Please select a CRAN mirror for use in this session ---
Error in install.packages(NULL, .libPaths()[1L], dependencies = NA, type =
type) : 
  no packages were specified
> local({pkg <- select.list(sort(.packages(all.available = TRUE)))
+ if(nchar(pkg)) library(pkg, character.only=TRUE)})
> utils:::menuInstallPkgs()
Error in install.packages(NULL, .libPaths()[1L], dependencies = NA, type =
type) : 
  no packages were specified
> 
 what i have to do
-- 
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