{"id":9,"date":"2020-04-02T10:46:52","date_gmt":"2020-04-02T10:46:52","guid":{"rendered":"http:\/\/ricovictor.com\/?p=9"},"modified":"2020-04-15T18:43:13","modified_gmt":"2020-04-15T18:43:13","slug":"estacionariedad-definicion-y-test-para-detectarla-en-r","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2020\/04\/02\/estacionariedad-definicion-y-test-para-detectarla-en-r\/","title":{"rendered":"ESTACIONARIEDAD.          Definici\u00f3n y Test en R"},"content":{"rendered":"\n<p><\/p>\n\n\n\n<p>\ud83d\ude04 El concepto de <strong>Estacionariedad<\/strong> es muy importante dentro del an\u00e1lisis de series y juegan un papel importante en la creaci\u00f3n de modelos econom\u00e9tricos y tambi\u00e9n en algunas estrategias de trading como en la <a href=\"https:\/\/www.youtube.com\/watch?v=hD8L4sgkdA4&amp;t=1322s\">cointegraci\u00f3n <\/a>y multicointegraci\u00f3n. <\/p>\n\n\n\n<p>Las series temporales ser\u00e1n estacionarias, cuando la media y la variabilidad se mantienen constantes a lo largo del tiempo. <\/p>\n\n\n\n<p>En este <a href=\"https:\/\/www.youtube.com\/watch?v=zegw5b1TvCs\">v\u00eddeo<\/a> explico el concepto y ense\u00f1o algunos test que puedes usar en R, como el de Dickey Fuller para poder detectar la existencia o estacionariedad en las series. <\/p>\n\n\n\n<p><\/p>\n\n\n\n<figure class=\"wp-block-embed-youtube wp-block-embed is-type-video is-provider-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio\"><div class=\"wp-block-embed__wrapper\">\n<div class=\"ast-oembed-container \" style=\"height: 100%;\"><iframe loading=\"lazy\" title=\"ESTACIONARIEDAD. Definici\u00f3n y Test para detectarla en R\" width=\"500\" height=\"281\" src=\"https:\/\/www.youtube.com\/embed\/zegw5b1TvCs?feature=oembed\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" allowfullscreen><\/iframe><\/div>\n<\/div><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>C\u00d3DIGO DEL V\u00cdDEO DE ESTACIONARIEDAD<\/strong><\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>### VIDEO SERIES ESTACIONARIAS ###\n\n## ESTACIONARIEDAD = MEDIA Y VARIABILIDAD NO CAMBIAN EN EL TIEMPO\n\n## Una serie con media constante es \u00abestacionaria en la media\u00bb o \u00abestacionaria\u00bb\n## Igual con Varianza\n\n## Se da Porque la distribuci\u00f3n de Prob es igual en cualquier momento\n\n## RUIDO BLANCO es un ejemplo\n\n\n\nr_blanco=rnorm(1000,0,1)\n\nplot.ts(r_blanco, main=\"Ruido Blanco\", xlab=\"Tiempo\", ylab=\"Valores\",col=\"2\")\n\nplot.ts(r_blanco, main=\"SERIES ESTACIONARIAS\", xlab=\"ESTACIONARIEDAD\", ylab=\"RUIDO BLANCO\",col=\"2\")\n\n\n## No son estacionarias series con Tendencia o estacionalidad\n\n\n\n#install.packages(\"quantmod\")\nlibrary(quantmod)\n#install.packages(\"tseries\")\nlibrary(tseries)\n#install.packages(\"fImport\")\nlibrary(fImport)\n#install.packages(\"FImport\")\nlibrary(urca)\n\n\ngetSymbols(\"^DJI\",quote=\"Close\",from =\"2013-03-17\")\nDOW= DJI&#91;,4]\n\nplot(DOW,type=\"l\")\n\n\n## \u00bf Qu\u00e9 hacer si necesitamos series estacionarias?\n\n\n## Modelos econom\u00e9tricos\n\n## estrategias de trading-- Arbitraje Estad\u00edstico\n\n\n## Podemos trandformar las series con diferencias y log\n\n\n\n\nl_dow&lt;-log(DOW)\nplot(l_dow,type=\"l\")\n\n\nr_dow &lt;- na.omit(returns(DOW)) # retorno log\nplot(r_dow,type=\"l\")\n\n\n\n\n### test estad\u00edsticos para ayudar y para ser mas r\u00e1pidos\n\n\n## Los m\u00e9todos m\u00e1s usados para comprobar si existe estacionariedad\n## son los tes de Raiz unitaria\n\n\n\n## TEST DE RAICES UNITARIAS\n\n# Si existe Raiz unitaria hay una tendencia estoc\u00e1stica,y por tanto\n# no estacionariedad\n\n\n#getSymbols(\"^DJI\",quote=\"Close\",from =\"2002-03-17\")\n#DOW= DJI&#91;,4]\n\n\n\ngetFX(\"EUR\/USD\") \nplot(EURUSD,type=\"l\")\n\n\n# Test Dickey Fuller\n\n\nadf.test(DOW)\n\n\nadf.test(EURUSD,k=0)    #en funcion de los datos\n\n\n#?adf.test\n\n\n## Hacemos retornos y Comprobamos\n\nr_EURUSD &lt;- na.omit(returns(EURUSD))\nplot(r_EURUSD,type=\"l\")\n\nadf.test(r_EURUSD)\n\n\n#un p-valor de 0.01, indica que rechazamos la hip\u00f3tesis nula \n#de no estacionariedad.\n\n\n\n#trunc((length(EURUSD)-1)^(1\/3))\n\n\n### Urca\n\n\n## Hay varios tipos de test -- tendencia- constante -nada\n?ur.df\n\n\ndf.eurusd &lt;- ur.df(r_dow, type='trend',lags=12, selectlags=c(\"AIC\"))\nsummary(df.eurusd)\n\n\ndf.eurusd &lt;- ur.df(DOW, type='drift',lags=12, selectlags=c(\"AIC\"))\nsummary(df.eurusd)\n\ndf.eurusd &lt;- ur.df(DOW, type='none',lags=12, selectlags=c(\"AIC\"))\nsummary(df.eurusd)\n\n\n## Hacemos los retornos\n\ndf.eurusd &lt;- ur.df(r_EURUSD, type='trend',lags=5, selectlags=c(\"AIC\"))\nsummary(df.eurusd)\n\n\n\n# incluir la posibilidad de que el\n#t\u00e9rmino de error no fuera ruido blanco al existir \n#la posibilidad de autocorrelaci\u00f3n\n\n\n# Test Philipps Perron\n\n?pp.test\n\npp.test(r_EURUSD, alternative=\"stationary\")\n\n\n## urca\n\npp &lt;- ur.pp(r_EURUSD, type=\"Z-tau\",model=\"trend\", lags=\"long\")\npp\n\nsummary(pp)\n\n<\/code><\/pre>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\ud83d\ude04 El concepto de Estacionariedad es muy importante dentro del an\u00e1lisis de series y juegan un papel importante en la creaci\u00f3n de modelos econom\u00e9tricos y tambi\u00e9n en algunas estrategias de trading como en la cointegraci\u00f3n y multicointegraci\u00f3n. Las series temporales ser\u00e1n estacionarias, cuando la media y la variabilidad se mantienen constantes a lo largo del &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2020\/04\/02\/estacionariedad-definicion-y-test-para-detectarla-en-r\/\"> <span class=\"screen-reader-text\">ESTACIONARIEDAD.          Definici\u00f3n y Test en R<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":1,"featured_media":38,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[21,2],"tags":[4,3,5],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.6 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>ESTACIONARIEDAD.     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