UnitrootTests: Unit root time series tests

In fUnitRoots: Rmetrics - Modelling Trends and Unit Roots

Unit root time series tests

Description

Carry out augmented Dickey-Fuller tests for unit roots based on Banerjee's et al. tables and on J.G. McKinnons' numerical distribution functions.

Usage

unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
    description = NULL)
    
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
    description = NULL)

Arguments

x	a numeric vector or time series object.
lags	the maximum number of lags used for error term correction.
type	a character string describing the type of the unit root regression. Valid choices are "nc" for a regression with no intercept (constant) nor time trend, "c" for a regression with an intercept (constant) but no time trend, "ct" for a regression with an intercept (constant) and a time trend. The default is "c".
title	a character string which allows for a project title.
description	a character string which allows for a brief description.

Details

adfTest() computes test statistics and p-values along the implementation from Trapletti's augmented Dickey-Fuller test for unit roots. In contrast to Trapletti's function, three kind of test types can be selected.

unitrootTest() computes test statistics and p-values using McKinnon's response surface approach.

Value

an object from S4 class "fHTEST" with the following slots:

@call	the function call.
@data	a data frame with the input data.
@data.name	a character string giving the name of the data frame.
@test	a list object which holds the output of the underlying test function.
@title	a character string with the name of the test.
@description	a character string with a brief description of the test.

The entries of the @test slot include the following components:

$statistic	the value of the test statistic.
$parameter	the lag order.
$p.value	the p-value of the test.
$method	a character string indicating what type of test was performed.
$data.name	a character string giving the name of the data.
$alternative	a character string describing the alternative hypothesis.
$name	the name of the underlying function, which may be wrapped.
$output	additional test results to be printed.

Author(s)

Adrian Trapletti for the tests adapted from R's "tseries" package,
Diethelm Wuertz for the Rmetrics R-port.

References

Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993); Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford.

Dickey, D.A., Fuller, W.A. (1979); Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427–431.

MacKinnon, J.G. (1996); Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics 11, 601–618.

Said S.E., Dickey D.A. (1984); Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika 71, 599–607.

Examples

## a time series which contains no unit-root:
x <- rnorm(1000)  
## a time series which contains a unit-root:
y <- cumsum(c(0, x))
   
adfTest(x)
adfTest(y)
   
unitrootTest(x)
unitrootTest(y)     

fUnitRoots documentation built on Dec. 19, 2025, 3:01 p.m.