ADF: Estimate the ADF statistic

In psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Description

ADF calculates the augmented Dickey-Fuller (ADF) test statistic with lag order set fixed or selected by AIC or BIC.

Usage

ADF(y, IC = 0, adflag = 0)

Arguments

y	A vector, The data.
IC	An integer. 0 for fixed lag (default) order 1 for AIC and 2 for BIC (default = 0).
adflag	An integer. Lag order when IC=0; maximum number of lags when IC>0 (default = 0).

Value

Numeric, ADF test statistic.

References

Said, S. E., & Dickey, D. A. (1984). Testing for Unit Roots in ARMA Models of Unknown Order. Biometrika, 71(1984), 599–607.

Examples

y <- rnorm(100)
tstat <- ADF(y,  IC = 0, adflag = 1)

Example output

psymonitor documentation built on May 2, 2019, 1:33 p.m.