This class contains the relevant information by applying the augmented Dickey-Fuller unit root test to a time series.
y:Object of class "vector": The time series to
be tested.
model:Object of class "character": The type of
the deterministic part, either "none", "drift" or
"trend". The latter includes a constant term, too.
lags:Object of class "integer": Number of lags
for error correction.
cval:Object of class "matrix": Critical values
at the 1%, 5% and 10% level of significance.
teststat:Object of class "matrix": Value of
the test statistic.
testreg:Object of class "ANY": The summary
output of the test regression.
res:Object of class "vector": The residuals of
the test regression.
test.name:Object of class "character": The
name of the test, i.e `Augmented-Dickey-Fuller Test'.
Class urca, directly.
Type showMethods(classes="ur.df") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:test statistic.
summary:like show, but critical value and summary of test regression added.
plot:Residual plot, acfs' and pacfs'.
Bernhard Pfaff
Dickey, D. A. and Fuller, W. A. (1979), Distributions of the Estimators For Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 75, 427--431.
Dickey, D. A. and Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057--1072.
Hamilton (1994), Time Series Analysis, Princeton University Press.
ur.df and urca-class