ndiffs: Number of differences
Description
Uses a unit root test to determine the number of differences required for time series x
. If test="kpss"
,
the KPSS test is used with the null hypothesis that x
has a stationary root against a unit-root alternative. Then the test returns
the least number of differences required to pass the test at the level alpha
. If test="adf"
, the Augmented Dickey-Fuller test is used
and if test="pp"
the Phillips-Perron test is used. In both of these cases, the null hypothesis is that x
has a unit root against a
stationary root alternative. Then the test returns the least number of differences required to fail the test at the level alpha
.Usage
ndiffs(x, alpha=0.05, test=c("kpss","adf", "pp"))
Arguments
x
A univariate time series
test
Type of unit root test to use