uroot (version 1.1)

ADF.test: Augmented Dickey-Fuller test

Description

Compute the augmented Dickey-Fuller test statistic for examining the null hypothesis that exists a unit root at the zero frequency.

Usage

ADF.test (label, compdet, selecP, Mvfic, VFEp, showcat)

Arguments

label

a list object with information about the series. The list consist of the following elements. vari, a ts object with the data of the series, s, the periodicity of the series (4, 12 or 1 for quarterly, monthly or anual data)

compdet

a vector indicating the deterministic components included in the auxiliar regression.

selecP

method for selecting lags included in the auxiliar regression.

Mvfic

a matrix containing any particular dummy.

VFEp

a matrix containing partial seasonal dummy.

showcat

how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results.

Value

• ADF test statistic, coefficient and t-statistics of the deterministic components, and number of available observations.

Details

compdet is a numeric vector of length three. If an element equals 1 it indicates that a constant, linear trend or seasonal dummys respectively are included. Otherwise, the element must be set to zero.

Mvfic and VFEp are two kinds of dummys. The first one is a generic dummy, while the second includes seasonal dummys for only some, not necessarily all of the, seasons. Any 0-1 column-matrix can be designed.

Lag selection method availables are the following: "aiclb" is based on the AIC criterion and Ljung-Box test, "biclb" is based on the BIC criterion and Ljung-Box test, "aiclut" follows a top-down strategy based on the AIC criterion, "biclut" follows a top-down strategy based on the BIC criterion, "signf" retains the significant lags, a numeric vector includes the lags reported on it.

References

D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1071.

Examples

## ADF.test with constant and seasonal dummys and without other dummys.
     data(AirPassengers)
     AirP <- list(vari=AirPassengers, s=12, t0=c(1949,1), N=length(AirPassengers))
     ADF.test(label=AirP, compdet=c(1,0,1), selecP="biclb", Mvfic=0, VFEp=0, showcat=TRUE)