ndiffs: Number of differences
Description
Uses a unit root test to determine the number of differences required for time series x. If test="kpss",
the KPSS test is used with the null hypothesis that x has a stationary root against a unit-root alternative. Then the test returns
the least number of differences required to pass the test at the level alpha. If test="adf", the Augmented Dickey-Fuller test is used
and if test="pp" the Phillips-Perron test is used. In both of these cases, the null hypothesis is that x has a unit root against a
stationary root alternative. Then the test returns the least number of differences required to fail the test at the level alpha.Usage
ndiffs(x, alpha=0.05, test=c("kpss","adf", "pp"))Arguments
x
A univariate time series
test
Type of unit root test to use