x
has
a unit root.adf.test(x, alternative = c("stationary", "explosive"),
k = trunc((length(x)-1)^(1/3)))
"stationary"
(default) or "explosive"
. You can
specify just the initial letter."htest"
containing the following components: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). If the computed statistic is outside the
table of critical values, then a warning message is generated.
Missing values are not allowed.pp.test
x <- rnorm(1000) # no unit-root
adf.test(x)
y <- diffinv(x) # contains a unit-root
adf.test(y)
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