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I have the Time Series package and Mathematica 8. In the package, there is the function 'StationaryQ' to test the stationarity of a known model. Is there any function in Mathematica to test the stationarity of a given list of data?

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2 Answers

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The three best-known tests for stationarity (or rather, unit roots) in time series econometrics are:

  1. Dickey-Fuller including Augmented Dickey-Fuller
  2. Phillips-Perron
  3. KPSS

There are also Bayesian tests of unit roots, as implemented in this conference presentation. If you have access to JSTOR or another way of getting at old journals, this article might be of interest.

As far as I'm aware, nobody has created a pre-digested package for unit root testing in Mathematica. The notebook I wrote - about a decade ago - only includes the KPSS test, and I can give no warranties about whether I did it right. It was written for version 3 and would need considerable updating to work with version 8, as it has dependencies on several packages that have been made obsolete when the functionality was rolled into the main kernel.

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You can check this link. The notebook is sets up several standard tests of stationarity and non-stationarity in time series.

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And to be fair, I haven't looked at that notebook in about a decade, and it only includes the KPSS test. – Verbeia♦ Apr 5 '12 at 21:18
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Good link, but next time try to provide some context with your link. A short description, a snippet of documentation or a picture would be highly appreciated. Posting just links is generally fronted upon. – Sjoerd C. de Vries Apr 6 '12 at 0:15

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