Description

This class contains the relevant information by applying the augmented Dickey-Fuller unit root test to a time series.

Slots

y:

Object of class "vector": The time series to be tested.

model:

Object of class "character": The type of the deterministic part, either "none", "drift" or "trend". The latter includes a constant term, too.

lags:

Object of class "integer": Number of lags for error correction.

cval:

Object of class "matrix": Critical values at the 1%, 5% and 10% level of significance.

teststat:

Object of class "matrix": Value of the test statistic.

testreg:

Object of class "ANY": The summary output of the test regression.

res:

Object of class "vector": The residuals of the test regression.

test.name:

Object of class "character": The name of the test, i.e ‘Augmented-Dickey-Fuller Test’.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.df") at the R prompt for a complete list of methods which are available for this class.

Useful methods include

show:

test statistic.

summary:

like show, but critical value and summary of test regression added.

plot:

Residual plot, acfs' and pacfs'.

Author(s)

Bernhard Pfaff

References

Dickey, D. A. and Fuller, W. A. (1979), Distributions of the Estimators For Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 75, 427–431.

Dickey, D. A. and Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057–1072.

Hamilton (1994), Time Series Analysis, Princeton University Press.

See Also

ur.df and urca-class