R: Number of differences required for a seasonally stationary...

nsdiffs {forecast} | R Documentation

## Number of differences required for a seasonally stationary series

### Description

Functions to estimate the number of differences required to make a given time series stationary. `nsdiffs` estimates the number of seasonal differences necessary.

### Usage

    nsdiffs(x, alpha = 0.05, m = frequency(x), test = c("seas", "ocsb",
      "hegy", "ch"), max.D = 1)

### Arguments

`x` | A univariate time series
`alpha` | Level of the test, possible values range from 0.01 to 0.1.
`m` | Deprecated. Length of seasonal period
`test` | Type of unit root test to use
`max.D` | Maximum number of seasonal differences allowed

### Details

`nsdiffs` uses seasonal unit root tests to determine the number of seasonal differences required for time series `x` to be made stationary (possibly with some lag-one differencing as well).

Several different tests are available:

- If `test="seas"` (default), a measure of seasonal strength is used, where differencing is selected if the seasonal strength (Wang, Smith & Hyndman, 2006) exceeds 0.64 (based on M3 auto.arima performance).

- If `test="ch"`, the Canova-Hansen (1995) test is used (with null hypothesis of deterministic seasonality)

- If `test="hegy"`, the Hylleberg, Engle, Granger & Yoo (1990) test is used.

- If `test="ocsb"`, the Osborn-Chui-Smith-Birchenhall (1988) test is used (with null hypothesis that a seasonal unit root exists).

### Value

An integer indicating the number of differences required for stationarity.

### Author(s)

Rob J Hyndman, Slava Razbash and Mitchell O'Hara-Wild

### References

Wang, X, Smith, KA, Hyndman, RJ (2006) "Characteristic-based clustering for time series data", Data Mining and Knowledge Discovery, 13(3), 335-364.

Osborn DR, Chui APL, Smith J, and Birchenhall CR (1988) "Seasonality and the order of integration for consumption", Oxford Bulletin of Economics and Statistics 50(4):361-377.

Canova F and Hansen BE (1995) "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability", Journal of Business and Economic Statistics 13(3):237-252.

Hylleberg S, Engle R, Granger C and Yoo B (1990) "Seasonal integration and cointegration.", Journal of Econometrics 44(1), pp. 215-238.

### See Also

`auto.arima`, `ndiffs`, `ocsb.test`, `hegy.test`, and `ch.test`

### Examples

    nsdiffs(AirPassengers)

[Package forecast version 8.4 Index]