List of tests common to time series analysis

JuliaStats / HypothesisTests.jl

Hypothesis tests for Julia

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List of tests common to time series analysis #16

Open milktrader opened 10 years ago

milktrader commented 10 years ago

[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)

tomaskrehlik commented 9 years ago

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

milktrader commented 9 years ago

Ok, nice.

tomaskrehlik commented 9 years ago

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

rawls238 commented 8 years ago

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

tomaskrehlik commented 8 years ago

Not really.

milktrader commented 8 years ago

@rawls238 cool, go for it!

BenjaminBorn commented 7 years ago

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

BenjaminBorn commented 7 years ago

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.

milktrader commented 7 years ago

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

ararslan commented 7 years ago

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.

milktrader commented 7 years ago

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

BenjaminBorn commented 7 years ago

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.

milktrader commented 7 years ago

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

BenjaminBorn commented 6 years ago

Durbin-Watson test added in #102.

azev77 commented 3 years ago

@pedrochaim has UnitRoots.jl with DFGLS & KPSS.

azev77 commented 3 years ago

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

azev77 commented 3 years ago

ARCHModels.jl has several time series tests.

tomaskrehlik commented 3 years ago

@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. :)