Augmented-Dickey-Fuller Unit Root Test
Performs the augmented Dickey-Fuller unit root test.
ur.df(y, type = c("none", "drift", "trend"), lags = 1,
selectlags = c("Fixed", "AIC", "BIC"))y |
Vector to be tested for a unit root. |
type |
Test type, either |
lags |
Number of lags for endogenous variable to be included. |
selectlags |
Lag selection can be achieved according to the
Akaike |
The function ur.df() computes the augmented Dickey-Fuller
test. If type is set to "none" neither an intercept nor a trend
is included in the test regression. If it is set to "drift" an
intercept is added and if it is set to "trend" both an intercept
and a trend is added. The critical values are taken from Hamilton
(1994) and Dickey and Fuller(1981).
An object of class ur.df.
Bernhard Pfaff
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.
data(Raotbl3) attach(Raotbl3) lc.df <- ur.df(y=lc, lags=3, type='trend') summary(lc.df)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.