Dickey-Fuller test

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Description

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

Usage

1
dftest(y)

Arguments

y

time series or vector

Details

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

Value

The output is a list with components:

DFStat

value of Dickey-Fuller pivotal statistic

criticalValues

critical values corresponding to 1

Author(s)

A.I. McLeod and Hao Yu

See Also

ur.df, mleur

Examples

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