ADF.test {uroot} | R Documentation |
This function computes the augmented Dickey-Fuller statistic for testing the null hypothesis that exists a unit root at the zero frequency.
ADF.test (label, compdet, selecP, Mvfic, VFEp, showcat)
label |
a list object with information about the series. The list consists of the following elements. vari , a ts object with the data of the series, s , the periodicity of the series (4, 12, or 1 for quarterly, monthly, or anual data), t0 , a vector of two elements indicating the year and season of the first observation, N , number of observations. |
compdet |
a vector indicating the deterministic components included in the auxiliar regression. |
selecP |
method for selecting lags included in the auxiliar regression. |
Mvfic |
a matrix containing any particular dummy. |
VFEp |
a matrix containing partial seasonal dummies. |
showcat |
how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results. |
compdet
is a numeric vector of length three. If an element is equal to 1 it indicates that a constant, linear trend, or seasonal dummies, respectively are included. Otherwise, the element must be set to zero.
Mvfic
and VFEp
are two kinds of dummies. The first one is a generic dummy and any 0-1 column-matrix can be designed for it. The second one includes seasonal dummies for only some, not necessarily all of the seasons.
Available lag selection methods are the following: aiclb
is based on the AIC criterion
and Ljung-Box test, biclb
is based on the BIC criterion and Ljung-Box test, aiclut
follows a top-down strategy based on the AIC criterion, biclut
follows a top-down strategy based on the BIC criterion, signf
retains the significant lags. It is also possible to set the argument selecP
equals to a vector, for instance, SelecP=c(1,3,4)
for those lags to be included in the auxiliar regression.
ADF test statistic for long run unit root hypothesis, coefficient and t-statistics of the deterministic components, and number of available observations.
Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza etpdihei@bs.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 and seasonal dummies and without other dummies. data(AirPassengers) AirP <- list(vari=AirPassengers, s=12, t0=c(1949,1), N=length(AirPassengers)) ADF.test(label=AirP, compdet=c(1,0,1), selecP="biclb", Mvfic=0, VFEp=0, showcat=TRUE)