adf: Augmented Dickey-Fuller (ADF) test

In sfeuerriegel/ResearchGroupTools: Collection of Custom Helper Functions

Description

Performs the Augmented Dickey-Fuller (ADF) test to check if a time series is stationary. The result comes in a pretty format.

Usage

adf(d, vars = colnames(d), type = c("none", "drift", "trend"), lags = 1,
  filename = NULL, digits = 3, verbose = TRUE, ...)

Arguments

d	Data frame containing the time series in column-wise format.
vars	Column names to check for stationarity. If not specified, then all columns are tested.
type	Test type, either "none", "drift" or "trend". See ur.df for details.
lags	Number of lags for endogenous variable to be included. Default is 1. See ur.df for details.
filename	Optional filename to export the table as LaTeX. Default is NULL, i.e. no export.
digits	Number of digits to be printed (default: 3).
verbose	Flag if the result of each ADF test is printed. Default is yes (TRUE).
...	Further parameters passed on to ur.df.

Value

P-values from ADF test in a simple table. If P-values are < 0.05, this is an indication of stationarity.

Examples

data(USArrests)
adf(USArrests)
adf(USArrests, vars = c("Murder", "Rape"), type = "drift",
    filename = "adf.tex", verbose = FALSE)
unlink("adf.tex")

sfeuerriegel/ResearchGroupTools documentation built on May 29, 2019, 8:01 p.m.