A collection and description of functions
to compute the distribution and quantile
function for the ADF unit root test statistics.
The functions are:
padf | the returns cumulative probability for the ADF test, |
qadf | the returns quantiles for the ADF test, |
adfTable | tables p values for 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)
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.
a logical flag. Should the asymptotic value be included into the table?
the number of observations in the sample from which the
quantiles are to be computed.
a numeric vector of probabilities. Missing values are allowed.
vector of quantiles or test statistics. Missing values are allowed.
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".
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 with an intercept (constant)
but no time trend, "ct" for a regression with an intercept
(constant) and a time trend. The default is "c".
Diethelm Wuertz for the Rmetrics R-port.
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()
Run the code above in your browser using DataLab