dftest: Dickey-Fuller test
In mleur: Maximum likelihood unit root test

Description Usage Arguments Details Value Author(s) See Also Examples

Computes the Dickey-Fuller test using the pivotal test statistic and returns critical points for tests at levels 0.1, 0.05, 0.01.

dftest(y)

`y`	time series or vector

The function ur.df() in the package ur.ca is used.

The output is a list with components:

`DFStat`	value of Dickey-Fuller pivotal statistic
`criticalValues`	critical values corresponding to 1

A.I. McLeod and Hao Yu

ur.df, mleur

1 2	dftest(vel) mleur(vel)

Loading required package: urca
Loading required package: stabledist
Loading required package: fGarch
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fBasics


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
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Loading required package: lattice
$tau
Dickey-Fuller 
    -3.284241 

$criticalValues
 1pct  5pct 10pct 
-3.46 -2.88 -2.57 

                             
test statistic     -0.2587052
1% critical point  -3.1605546
5% critical point  -2.5529005
10% critical point -2.2457370