ur.df | R Documentation |
Performs the augmented Dickey-Fuller unit root test.
ur.df(y, type = c("none", "drift", "trend"), lags = 1,
selectlags = c("Fixed", "AIC", "BIC"))
y |
Vector to be tested for a unit root. |
type |
Test type, either |
lags |
Number of lags for endogenous variable to be included. |
selectlags |
Lag selection can be achieved according to the
Akaike |
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).
An object of class ur.df
.
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-class
.
data(Raotbl3)
attach(Raotbl3)
lc.df <- ur.df(y=lc, lags=3, type='trend')
summary(lc.df)
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