adf04: ADF test for PANIC (2004)
In Stevo15025/PANICr: PANIC Tests of Nonstationarity
Description
Usage
Arguments
Value
Description
This function performs the ADF tests on the idiosyncratic and common components
for PANIC (2004).
Usage
1
adf04(y,k,p)
Arguments
y
A matrix containing the data.
k
An integer specifying the maximum lag order for individual
ADF regressions. Bai and Ng (2004) suggest 4*(Time/100)^(.25) rounded
to the nearest whole number as the maximum number of lags.
p
An integer of value either 0 or 1. p is the order of the deterministic
function in the regression. 0 is for constant only and 1 is to include a trend.
Value
tstat A vector of t statistics for each column of the input matrix
Stevo15025/PANICr documentation built on May 9, 2019, 3:08 p.m.
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Description Usage Arguments Value
Description
This function performs the ADF tests on the idiosyncratic and common components for PANIC (2004).
Usage
1 | adf04(y,k,p)
|
Arguments
y |
A matrix containing the data. |
k |
An integer specifying the maximum lag order for individual ADF regressions. Bai and Ng (2004) suggest 4*(Time/100)^(.25) rounded to the nearest whole number as the maximum number of lags. |
p |
An integer of value either 0 or 1. p is the order of the deterministic function in the regression. 0 is for constant only and 1 is to include a trend. |
Value
tstat A vector of t statistics for each column of the input matrix
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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