ur.df-class | R Documentation |

This class contains the relevant information by applying the augmented Dickey-Fuller unit root test to a time series.

`y`

:Object of class

`"vector"`

: The time series to be tested.`model`

:Object of class

`"character"`

: The type of the deterministic part, either`"none"`

,`"drift"`

or`"trend"`

. The latter includes a constant term, too.`lags`

:Object of class

`"integer"`

: Number of lags for error correction.`cval`

:Object of class

`"matrix"`

: Critical values at the 1%, 5% and 10% level of significance.`teststat`

:Object of class

`"matrix"`

: Value of the test statistic.`testreg`

:Object of class

`"ANY"`

: The summary output of the test regression.`res`

:Object of class

`"vector"`

: The residuals of the test regression.`test.name`

:Object of class

`"character"`

: The name of the test,*i.e*‘Augmented-Dickey-Fuller Test’.

Class `urca`

, directly.

Type `showMethods(classes="ur.df")`

at the R prompt for a
complete list of methods which are available for this class.

Useful methods include

`show`

:test statistic.

`summary`

:like show, but critical value and summary of test regression added.

`plot`

:Residual plot, acfs' and pacfs'.

Bernhard Pfaff

Dickey, D. A. and Fuller, W. A. (1979), Distributions of the
Estimators For Autoregressive Time Series with a Unit Root,
*Journal of the American Statistical Association*, **75**, 427–431.

Dickey, D. A. and Fuller, W. A. (1981), Likelihood Ratio Statistics
for Autoregressive Time Series with a Unit Root, *Econometrica*,
**49**, 1057–1072.

Hamilton (1994), *Time Series Analysis*, Princeton University Press.

`ur.df`

and `urca-class`

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