ADF: ADF Test

In pointonjoel/Kenometrics: Support Tools for Econometrics Classes

Description

Conduct an ADF test and automatically find the first difference if the variable is non-stationary.

Usage

ADF(my_var, df, type = "type2", time_var)

Arguments

my_var	The variable to be tested, with the null hypothesis stationary (random walk) and the alternative as non-stationary.
df	The data frame where the variable is contained, e.g. my_dataframe.
type	The three types are "no constant, no trend", "constant, no trend" and "constant, trend". The default is "type2", but there is also "type1" and "type3".
time_var	If the supplied data frame has previously been converted to time series using make_ts and/or the "zoo" package, then a time variable must be specified. The variable in the dataset which marks the year of the observations. E.g. "year"

Value

The result of the ADF test, and the first difference of the variable if it is stationary

Examples

file = system.file("extdata", "hseinv.txt", package="Kenometrics")
data <- read.delim(file)
data <- ADF("linvpc", data)
data <- ADF("lpop", data, type="type1")

pointonjoel/Kenometrics documentation built on Jan. 24, 2021, 6:05 a.m.