psymonitor (version 0.0.2)

ADF: Estimate the ADF statistic

Description

ADF calculates the augmented Dickey-Fuller (ADF) test statistic with lag order set fixed or selected by AIC or BIC.

Usage

ADF(y, IC = 0, adflag = 0)

Arguments

y

A vector, The data.

IC

An integer. 0 for fixed lag (default) order 1 for AIC and 2 for BIC (default = 0).

adflag

An integer. Lag order when IC=0; maximum number of lags when IC>0 (default = 0).

Value

Numeric, ADF test statistic.

References

Said, S. E., & Dickey, D. A. (1984). Testing for Unit Roots in ARMA Models of Unknown Order. Biometrika, 71(1984), 599--607.

Examples

# NOT RUN {
y <- rnorm(100)
tstat <- ADF(y,  IC = 0, adflag = 1)
# }