adfstat-class {uroot} | R Documentation |
This class contains information from the Augmented Dickey-Fuller unit root test.
wts
:"ts"
: Original time series.itsd
:"numeric"
: Deterministic regressors included in the
auxiliar regression, namely intercept, trend, and/or seasonal dummies.regvar
:"maybeRegvar"
: Regressor variables included in auxiliar
regression.selectlags
:"list"
: Method for selecting lags and the maximum
order considered.regvarcoefs
:"maybeRegvar"
: Regressor variables estimates.lagsorder
:"maybeLags"
: Selected lags order.lagcoefs
:"maybeLags"
: Lags estimates.res
:"numeric"
: Residuals from the auxiliar regression.lmadf
:"lm"
: Auxiliar regression fitted.stat
:"matrix"
: ADF statistic.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
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.