Description Usage Arguments Details Value Author(s) References See Also Examples

This function computes the augmented Dickey-Fuller statistic for testing the null hypothesis that the long run unit root 1 exists.

1 2 |

`wts` |
a univariate time series object. |

`itsd` |
deterministic components to include in the model. Three types of regressors can be included: regular deterministic components, seasonal deterministic components, and any regressor variable previously defined by the user. This argument must be a vector object with the following elements: |

`regvar` |
regressor variables. If none regressor variables are considered, this object must be set equal to zero, otherwise, the names of a matrix object previously defined should be indicated. |

`selectlags` |
lag selection method. A list object indicating the method to select lags, |

The auxiliar regression is defined as,

*δ y_t = ρ y_{t-1} + ε_t,*

where *δ* is the first order operator. Hence, under the null hypothesis *ρ=0* and the
long run unit root 1 exists.

Available methods are the following. `"aic"`

and `"bic"`

follows a top-down strategy based on
the Akaike's and Schwarz's information criteria, and `"signf"`

removes the non-significant lags at
the 10% level of significance until all the selected lags are significant. By default, the maximum
number of lags considered is *round(10*log10(n))*, where *n* is the number of observations.

It is also possible to set the argument `selectlags`

equals to a vector, `mode=c(1,3,4)`

, then
those lags are directly included in the auxiliar regression and `Pmax`

is ignored.

An object of class `adfstat-class`

.

Javier Lopez-de-Lacalle [email protected] and Ignacio Diaz-Emparanza [email protected]

D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a
unit root. *Econometrica*, **49**, 1057-1071.

W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh Wiley, New York.

1 2 3 4 5 6 7 8 9 10 | ```
## ADF test with constant, trend and seasonal dummies.
data(AirPassengers)
lairp <- log(AirPassengers)
adf.out1 <- ADF.test(wts=lairp, itsd=c(1,1,c(1:11)),
regvar=0, selectlags=list(mode="bic", Pmax=12))
adf.out1
adf.out2 <- ADF.test(wts=lairp, itsd=c(1,1,c(1:11)),
regvar=0, selectlags=list(mode="signf", Pmax=NULL))
adf.out2
``` |

uroot documentation built on May 31, 2017, 5:01 a.m.

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