df.test: Augmented Dickey_Fuller test

In NlinTS: Models for Non Linear Causality Detection in Time Series

Description

Augmented Dickey_Fuller test

Usage

df.test(ts, lag)

Arguments

ts	Numerical dataframe.
lag	The lag parameter.

Details

Computes the stationarity test for a given univariate time series.

Value

df: returns the value of the test.

summary (): shows the test results.

References

\insertRef

elliott1992efficientNlinTS

Examples

library (timeSeries)
library (NlinTS)
#load data
data = LPP2005REC
model = df.test (data[,1], 1)
model$summary ()

Example output

Loading required package: Rcpp
Loading required package: timeDate
------------------------------------------------
         The Augmented Dickey-Fuller test       
------------------------------------------------
The lag parameter: p = 1
Critical values: 1% 	 5% 
                -2.87	-3.42
The statistic of the test is: -12.268
------------------------------------------------

NlinTS documentation built on Feb. 2, 2021, 9:07 a.m.