ur.df: Augmented-Dickey-Fuller Unit Root Test

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

View source: R/ur-df.R

Description

Performs the augmented Dickey-Fuller unit root test.

Usage

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ur.df(y, type = c("none", "drift", "trend"), lags = 1,
      selectlags = c("Fixed", "AIC", "BIC")) 

Arguments

y

Vector to be tested for a unit root.

type

Test type, either "none", "drift" or "trend".

lags

Number of lags for endogenous variable to be included.

selectlags

Lag selection can be achieved according to the Akaike "AIC" or the Bayes "BIC" information criteria. The maximum number of lags considered is set by lags. The default is to use a "fixed" lag length set by lags.

Details

The function ur.df() computes the augmented Dickey-Fuller test. If type is set to "none" neither an intercept nor a trend is included in the test regression. If it is set to "drift" an intercept is added and if it is set to "trend" both an intercept and a trend is added. The critical values are taken from Hamilton (1994) and Dickey and Fuller(1981).

Value

An object of class ur.df.

Author(s)

Bernhard Pfaff

References

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.

See Also

ur.df-class.

Examples

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data(Raotbl3)
attach(Raotbl3)
lc.df <- ur.df(y=lc, lags=3, type='trend')
summary(lc.df)

Example output

############################################### 
# Augmented Dickey-Fuller Test Unit Root Test # 
############################################### 

Test regression trend 


Call:
lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.044714 -0.006525  0.000129  0.006225  0.045353 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.7976591  0.3547775   2.248   0.0270 * 
z.lag.1     -0.0758706  0.0338880  -2.239   0.0277 * 
tt           0.0004915  0.0002159   2.277   0.0252 * 
z.diff.lag1 -0.1063957  0.1006744  -1.057   0.2934   
z.diff.lag2  0.2011373  0.1012373   1.987   0.0500 . 
z.diff.lag3  0.2998586  0.1020548   2.938   0.0042 **
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.01307 on 89 degrees of freedom
Multiple R-squared:  0.1472,	Adjusted R-squared:  0.09924 
F-statistic: 3.071 on 5 and 89 DF,  p-value: 0.01325


Value of test-statistic is: -2.2389 3.7382 2.5972 

Critical values for test statistics: 
      1pct  5pct 10pct
tau3 -4.04 -3.45 -3.15
phi2  6.50  4.88  4.16
phi3  8.73  6.49  5.47

urca documentation built on May 29, 2017, 3:27 p.m.