x
has
a unit root. The general regression
equation which incorporates a constant and a linear trend is used and
the t-statistic for a first order autoregressive coefficient
equals one is computed. The number of lags used in the regression is
k
. The default value of trunc((length(x)-1)^(1/3))
corresponds to the suggested upper bound on the rate at which the
number of lags, k
, should be made to grow with the sample size
for the general ARMA(p,q)
setup. Note that for k
equals
zero the standard Dickey-Fuller test is computed. The p-values are
interpolated from Table 4.2, p. 103 of Banerjee et al. (1993).
Missing values are not handled.adf.test (x, k = trunc((length(x)-1)^(1/3)))
"htest"
containing the following components:x <- rnorm (1000) # no unit-root
adf.test (x)
y <- diffinv (x) # contains a unit-root
adf.test (y)
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