Description Usage Arguments Details Value Examples
Computes the Augmented Dickey-Fuller test for the null that x has a unit root.
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object |
FLVector |
k |
the lag order to calculate the test statistic. |
trend |
1 for including trend. |
The general regression equation which incorporates a constant and a linear trend is used and the t-statistic for a first order autoregressive coefficient equals one is computed. The number of lags used in the regression is k. The default value of trunc((length(x)-1)^(1/3)) corresponds to the suggested upper bound on the rate at which the number of lags, k, should be made to grow with the sample size for the general ARMA(p,q) setup.
A list with class "htest" containing the following components:
the value of the test statistic.
the lag order.
the p-value of the test.
a character string indicating what type of test was performed.
a character string giving the name of the data.
a character string describing the alternative hypothesis.
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