adf: Augmented Dickey-Fuller Test

In efriedland/friedland: Making Functions Do Your Econometrics For You

Description

The Augmented Dickey-Fuller test is for unit root testing. Remember that the P-Value from traditional summary() of the regression of is often spurious. Uses MacKinnon (1994) Table 3 "“Approximate asymptotic distribution functions for unitroot and cointegration tests” to determine significance of the ADF test statistic result.

Usage

 adf(variable, k = 1, drift = TRUE, trend = TRUE, startfrom = 0, ADFstatOnly = FALSE) 

Arguments

variable	A Time Series object.
k	The maximum number of lags desired. Use only a single positive integer.
drift	Logic statement. If TRUE, includes an intercept/constant in the model.
trend	Logic statement. If TRUE, includes a time trend in the model.
startfrom	The start date of the sample in the test, can be used to limit observations
ADFstatOnly	Logic statement. If TRUE, the function only returns the Augmented Dickey Fuller statistic.

Details

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References

MacKinnon (1994)

See Also

UnitRoot, UnitRootApply

Examples

GermanInterest.ts <- as.ts(dynlm::M1Germany[,"interest"])
x <- adf(GermanInterest.ts, k = 4, drift = T, trend = T)
summary(x)

efriedland/friedland documentation built on Feb. 9, 2021, 11:53 a.m.