UnitrootTests: Unit Root Time Series Tests

In fUnitRoots: Rmetrics - Modelling Trends and Unit Roots

Unit Root Time Series Tests

Description

A collection and description of functions for unit root testing. The family of tests includes ADF tests based on Banerjee's et al. tables and on J.G. McKinnons' numerical distribution functions.

The functions are:

adfTest	Augmented Dickey-Fuller test for unit roots,
unitrootTest	the same based on McKinnons's test statistics.

Usage

unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
    description = NULL)
    
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
    description = NULL)

Arguments

description	a character string which allows for a brief description.
lags	the maximum number of lags used for error term correction.
title	a character string which allows for a project title.
type	a character string describing the type of the unit root regression. 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".
x	a numeric vector or time series object.

Details

The function adfTest() computes test statistics and p values along the implementation from Trapletti's augmented Dickey-Fuller test for unit roots. In contrast to Trapletti's function three kind of test types can be selected.

The function unitrootTest() computes test statistics and p values using McKinnon's response surface approach.

Value

The tests return an object of class "fHTEST" with the following slots:

@call	the function call.
@data	a data frame with the input data.
@data.name	a character string giving the name of the data frame.
@test	a list object which holds the output of the underlying test function.
@title	a character string with the name of the test.
@description	a character string with a brief description of the test.

The entries of the @test slot include the following components:

$statistic	the value of the test statistic.
$parameter	the lag order.
$p.value	the p-value of the test.
$method	a character string indicating what type of test was performed.
$data.name	a character string giving the name of the data.
$alternative	a character string describing the alternative hypothesis.
$name	the name of the underlying function, which may be wrapped.
$output	additional test results to be printed.

Author(s)

Adrian Trapletti for the tests adapted from R's "tseries" package,
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.

MacKinnon, J.G. (1996); Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics 11, 601–618.

Said S.E., Dickey D.A. (1984); Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika 71, 599–607.

Examples

## Time Series 
   # A time series which contains no unit-root:
   x = rnorm(1000)  
   # A time series which contains a unit-root:
   y = cumsum(c(0, x))
   
## adfTest - 
   adfTest(x)
   adfTest(y)
   
## unitrootTest - 
   unitrootTest(x)
   unitrootTest(y)     

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