Number of differences required for a stationary series

Use a unit root function to determine the minimum number of differences necessary to obtain a stationary time series.

unitroot_ndiffs(
  x,
  alpha = 0.05,
  unitroot_fn = ~unitroot_kpss(.)["kpss_pvalue"],
  differences = 0:2,
  ...
)

unitroot_nsdiffs(
  x,
  alpha = 0.05,
  unitroot_fn = ~feat_stl(., .period)[2] < 0.64,
  differences = 0:2,
  .period = 1,
  ...
)

Arguments

x: A vector to be tested for the unit root.
alpha: The level of the test.
unitroot_fn: A function (or lambda) that provides a p-value for a unit root test.
differences: The possible differences to consider.
...: Additional arguments passed to the unitroot_fn function
.period: The period of the seasonality.

Value

A numeric corresponding to the minimum required differences for stationarity.

Details

Note that the default 'unit root function' for unitroot_nsdiffs() is based on the seasonal strength of an STL decomposition. This is not a test for the presence of a seasonal unit root, but generally works reasonably well in identifying the presence of seasonality and the need for a seasonal difference.