AugmentedDickeyFullerTest: Augmented Dickey Fuller Test

Description Usage Arguments Details Value Examples

View source: R/AugmentedDickeyFullerTest.R

Description

ADF test is a unit-root test for determining whether the spread is cointegrated

Usage

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AugmentedDickeyFullerTest(y, type = "drift", lags = 1)

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.

Details

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.

Value

A list of ADF test results

Examples

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data(Raotbl3)
attach(Raotbl3)
lc.df <- AugmentedDickeyFullerTest(y=lc, lags=3, type='trend')
lc.df$res

ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.