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Emilio González Coya

Augmented Dickey-Fuller test (screening)

Source: R/diagnostics.R
adf_test.Rd

The regression \(\Delta x_t = a + g x_{t-1} + \sum_j c_j \Delta x_{t-j} + e_t\) with the number of lags chosen by BIC (at most \(\lfloor 12 (T/100)^{1/4} \rfloor\)); returns the t statistic on \(g\) with MacKinnon's asymptotic critical values. Used by fgls(check_stationarity = TRUE) to screen the response and the regressors; it is a screening device, not a replacement for a careful unit-root analysis.

Usage

adf_test(x, max_lags = NULL)

# S3 method for class 'fgls_adf'
print(x, ...)

Arguments

x

A numeric vector (a time series).

max_lags

Largest number of lagged differences.

...

Not used.

Value

A list of class "fgls_adf" with statistic, lags, nobs, critical_values and unit_root_rejected (at 5%). The print method returns x invisibly.

See also

Other diagnostics: test_predetermined(), weight_diagnostics()

Examples

set.seed(1)
adf_test(cumsum(rnorm(200)))$unit_root_rejected
#> [1] FALSE
adf_test(rnorm(200))$unit_root_rejected
#> [1] TRUE