fUnitRoots (version 290.75)

DickeyFullerPValues: Dickey-Fuller p Values

Description

A collection and description of functions to compute the distribution and quantile function for the ADF unit root test statistics. The functions are: ll{ padf the returns cumulative probability for the ADF test, qadf the returns quantiles for the ADF test, adfTable tables p values for ADF test. }

Usage

padf(q, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n")) 
qadf(p, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n"))
adfTable(trend = c("nc", "c", "ct"), statistic = c("t", "n"), 
    includeInf = TRUE)

Arguments

includeInf

a logical flag. Should the asymptotic value included into the table?

N

the number of observations in the sample from which the quantiles are to be computed.

p

a numeric vector of probabilities. Missing values are allowed.

q

vector of quantiles or test statistics. Missing values are allowed.

statistic

a character string describing the type of test statistic. Valid choices are "t" for t-statistic, and "n" for normalized statistic, sometimes referred to as the rho-statistic. The default is "t"

trend

a character string describing the regression from which the quantiles are to be computed. Valid choices are: "nc" for a regression with no intercept (constant) nor time trend, and "c" for a regression w

Value

• The function padf returns the cumulative probability of the finite sample distribution of the unit root test statistics. The function qadf returns the quantiles of the finite sample distribution of the unit root test statistics, given the probabilities.

References

Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993); Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford. Dickey, D.A., Fuller, W.A. (1979); Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427--431.

Examples

## ADF dftesTable -
   adfTable()