ADF.test {uroot} | R Documentation |
This function computes the augmented Dickey-Fuller statistic for testing the null hypothesis that the long run unit root 1 exists.
ADF.test (wts, itsd, regvar=0, selectlags=list(mode="signf", Pmax=NULL))
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: c(0,0,c(0)) ,
if the first and/or second elements are set equal to 1, it indicates that an intercept, and/or linear
trend, respectively, are included. The third element is a vector indicating which seasonal
dummies should be included. If no seasonal dummies are desired it must be set equal to zero. For
example, regular=c(1,0,c(1,2,3)) would include an intercept, no trend, and the first three
seasonal dummies. |
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, mode ,
and the maximum lag considered. Available methods are "aic" , "bic" , and "signf" .
See details. Pmax is a numeric object indicating the maximum lag order. By default, the maximum
number of lags considered is round(10*log10(n)), where n is the number of observations. |
The auxiliar regression is defined as,
delta y_t = rho y_{t-1} + ε_t,
where delta is the first order operator. Hence, under the null hypothesis rho=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 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.
## 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