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\name{DickeyFullerPValues}
\alias{DickeyFullerPValues}
\alias{padf}
\alias{qadf}
\alias{adfTable}
\title{Dickey-Fuller p Values}
\description{
A collection and description of functions
to compute the distribution and quantile
function for the ADF unit root test statistics.
\cr
The functions are:
\tabular{ll}{
\code{padf} \tab the returns cumulative probability for the ADF test, \cr
\code{qadf} \tab the returns quantiles for the ADF test, \cr
\code{adfTable} \tab tables p values for ADF test. }
}
\usage{
padf(q, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n"))
qadf(p, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n"))
adfTable(trend = c("nc", "c", "ct"), statistic = c("t", "n"),
includeInf = TRUE)
}
\arguments{
\item{includeInf}{
a logical flag. Should the asymptotic value included into
the table?
}
\item{N}{
the number of observations in the sample from which the
quantiles are to be computed.\cr
}
\item{p}{
a numeric vector of probabilities. Missing values are
allowed.
}
\item{q}{
vector of quantiles or test statistics. Missing values
are allowed.
}
\item{statistic}{
a character string describing the type of test statistic.
Valid choices are \code{"t"} for t-statistic, and \code{"n"}
for normalized statistic, sometimes referred to as the
rho-statistic. The default is \code{"t"}.
}
\item{trend}{
a character string describing the regression from which the
quantiles are to be computed. Valid choices are: \code{"nc"}
for a regression with no intercept (constant) nor time trend,
and \code{"c"} for a regression with an intercept (constant)
but no time trend, \code{"ct"} for a regression with an intercept
(constant) and a time trend. The default is \code{"c"}.
}
}
\value{
The function \code{padf} returns the cumulative probability of
the finite sample distribution of the unit root test statistics.
The function \code{qadf} returns the quantiles of the finite sample
distribution of the unit root test statistics, given the probabilities.
}
\note{
The functions \code{padf} and \code{qadf} use the tables from
A. Banerjee et al. (1993).
}
\author{
Diethelm Wuertz for the Rmetrics \R-port.
}
\references{
Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993);
\emph{Cointegration, Error Correction, and the Econometric
Analysis of Non-Stationary Data},
Oxford University Press, Oxford.
Dickey, D.A., Fuller, W.A. (1979);
\emph{Distribution of the estimators for autoregressive time
series with a unit root},
Journal of the American Statistical Association 74, 427--431.
}
\examples{
## ADF dftesTable -
adfTable()
}
\keyword{distribution}
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