padf |
| the returns cumulative probability for the ADF test, |
qadf |
| the returns quantiles for the ADF test, |
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)"t" for t-statistic, and "n"
for normalized statistic, sometimes referred to as the
rho-statistic. The default is "t".
"nc"
for a regression with no intercept (constant) nor time trend,
and "c" for a regression with an intercept (constant)
but no time trend, "ct" for a regression with an intercept
(constant) and a time trend. The default is "c".
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.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.
## ADF dftesTable -
adfTable()
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