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Published 20 hours ago • verified publisher icon JuliaStats

List of tests common to time series analysis

Open milktrader opened this issue 10 years ago • 18 comments

  • [x] Augmented Dickey-Fuller (unit root)
  • [ ] Phillips-Perron (unit root)
  • [ ] KPSS (unit root)
  • [ ] Shapiro-Wilks (normality)
  • [x] Jaques-Berra (3rd and 4th moments for normality) (TimeModels has this implemented)
  • [x] Ljung-Box (auto correlation)
  • [x] Durbin-Watson (auto correlation)
  • [x] Breusch-Godfrey (serial correlation)

milktrader avatar Jun 15 '14 01:06 milktrader

I have an ADF test somewhere in my files, will post it as a gist, so you can just use it.

tomaskrehlik avatar Aug 24 '14 17:08 tomaskrehlik

Ok, nice.

milktrader avatar Aug 24 '14 19:08 milktrader

Have a look at this. Didn't properly backtest everything, but seems to work mostly fine.

tomaskrehlik avatar Aug 25 '14 07:08 tomaskrehlik

I'm going to work on implementing these - has any work been done on this?

rawls238 avatar Feb 05 '16 04:02 rawls238

Not really.

tomaskrehlik avatar Feb 05 '16 10:02 tomaskrehlik

@rawls238 cool, go for it!

milktrader avatar Feb 08 '16 14:02 milktrader

I have started implementing autocorrelation tests in #87 and #89.

BenjaminBorn avatar Mar 14 '17 18:03 BenjaminBorn

Ok, ADF test is here #92. Please feel free to comment.

@milktrader Should we move the Jarque-Berra test to HypothesisTests as well? It seems a bit lost in TimeModels if all other tests are here.

BenjaminBorn avatar Apr 08 '17 13:04 BenjaminBorn

@BenjaminBorn yes, I think so. TimeModels has not been developed for some time now.

milktrader avatar Apr 27 '17 12:04 milktrader

TimeModels has not been developed for some time now.

In particular, I don't think it even works on Julia versions later than 0.4. If it won't be maintained going forward, perhaps it should be deprecated and the relevant pieces moved to other packages as appropriate? @BenjaminBorn has already been doing excellent work implementing the tests in HypothesisTests; it would just be a matter of finding appropriate homes for the other things.

ararslan avatar Apr 27 '17 16:04 ararslan

I agree @ararslan. I could move the package back to my repos and let it sit there until I have resources to develop it.

milktrader avatar Apr 28 '17 11:04 milktrader

I have added the Jarque-Bera test to HypothesisTests (see #95).

Concerning TimeModels, it seems it consists of two main parts. ARIMA modelling based on a state-space approach and some GARCH functionally (transferred from GARCH.jl). Would it make sense to split it again? There are also ARIMA.jl and RARIMA.jl (an R wrapper) but they also seem to be dormant.

BenjaminBorn avatar Apr 29 '17 16:04 BenjaminBorn

Yes, I think a big reason for dormant activity is because it's become too unwieldy.

milktrader avatar May 04 '17 11:05 milktrader

Durbin-Watson test added in #102.

BenjaminBorn avatar Aug 25 '17 09:08 BenjaminBorn

@pedrochaim has UnitRoots.jl with DFGLS & KPSS.

azev77 avatar Nov 02 '20 20:11 azev77

@tomaskrehlik you have some nice code for the Johansen test for cointegration. Would it be possible to port it here?

azev77 avatar Nov 02 '20 21:11 azev77

ARCHModels.jl has several time series tests.

azev77 avatar Nov 02 '20 21:11 azev77

@tomaskrehlik you have some nice code for the Johansen test for cointegration. Would it be possible to port it here?

I haven't really done any Julia in a while but I will put it on my agenda and see when it fits in. :)

tomaskrehlik avatar Nov 09 '20 21:11 tomaskrehlik