DickeyFullerPValues: Dickey-Fuller p Values

In fUnitRoots: Rmetrics - Modelling Trends and Unit Roots

Dickey-Fuller p Values

Description

A collection and description of functions to compute the distribution and quantile function for the ADF unit root test statistics.

The functions are:

padf	the returns cumulative probability for the ADF test,
qadf	the returns quantiles for the ADF test,
adfTable	tables p values for ADF test.

Usage

padf(q, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n")) 
qadf(p, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n"))

adfTable(trend = c("nc", "c", "ct"), statistic = c("t", "n"), 
    includeInf = TRUE)

Arguments

includeInf	a logical flag. Should the asymptotic value be included into the table?
N	the number of observations in the sample from which the quantiles are to be computed.
p	a numeric vector of probabilities. Missing values are allowed.
q	vector of quantiles or test statistics. Missing values are allowed.
statistic	a character string describing the type of test statistic. Valid choices are "t" for t-statistic, and "n" for normalized statistic, sometimes referred to as the rho-statistic. The default is "t".
trend	a character string describing the regression from which the quantiles are to be computed. Valid choices are: "nc" for a regression with no intercept (constant) nor time trend, and "c" for a regression with an intercept (constant) but no time trend, "ct" for a regression with an intercept (constant) and a time trend. The default is "c".

Value

The function padf returns the cumulative probability of the finite sample distribution of the unit root test statistics.

The function qadf returns the quantiles of the finite sample distribution of the unit root test statistics, given the probabilities.

Note

The functions padf and qadf use the tables from A. Banerjee et al. (1993).

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

References

Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993); Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford.

Dickey, D.A., Fuller, W.A. (1979); Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427–431.

Examples

   
## ADF dftesTable -
   adfTable()

fUnitRoots documentation built on May 29, 2024, 6:23 a.m.