fUnitRoots (version 3010.78)

UnitrootTests: Unit Root Time Series Tests

Description

A collection and description of functions for unit root testing. The family of tests includes ADF tests based on Banerjee's et al. tables and on J.G. McKinnons' numerical distribution functions. The functions are:

adfTest

Augmented Dickey--Fuller test for unit roots,

Usage

unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,  description = NULL) 
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,  description = NULL)

Arguments

description

a character string which allows for a brief description.

lags

the maximum number of lags used for error term correction.

title

a character string which allows for a project title.

type

a character string describing the type of the unit root regression. Valid choices are "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".

x

a numeric vector or time series object.

Value

The tests return an object of class "fHTEST" with the following slots:

@call

the function call.

@data

a data frame with the input data.

@data.name

a character string giving the name of the data frame.

@test

a list object which holds the output of the underlying test function.

@title

a character string with the name of the test.

@description

a character string with a brief description of the test.

The entries of the @test slot include the following components:

$statistic

the value of the test statistic.

$parameter

the lag order.

$p.value

the p-value of the test.

$method

a character string indicating what type of test was performed.

$data.name

a character string giving the name of the data.

$alternative

a character string describing the alternative hypothesis.

$name

the name of the underlying function, which may be wrapped.

$output

additional test results to be printed.

Details

The function adfTest() computes test statistics and p values along the implementation from Trapletti's augmented Dickey--Fuller test for unit roots. In contrast to Trapletti's function three kind of test types can be selected. The function unitrootTest() computes test statistics and p values using McKinnon's response surface approach.

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. MacKinnon, J.G. (1996); Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics 11, 601--618. Said S.E., Dickey D.A. (1984); Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika 71, 599--607.

Examples

## Time Series 
   # A time series which contains no unit-root:
   x = rnorm(1000)  
   # A time series which contains a unit-root:
   y = cumsum(c(0, x))
   
## adfTest - 
   adfTest(x)
   adfTest(y)
   
## unitrootTest - 
   unitrootTest(x)
   unitrootTest(y)