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\name{UnitrootTests}
\alias{UnitrootTests}
\alias{unitrootTest}
\alias{adfTest}
\concept{unit root tests}
\concept{Dickey-Fuller test}
\concept{augmented Dickey-Fuller test}
\concept{MacKinnon's unit root test}
\title{Unit root time series tests}
\description{
Carry out augmented Dickey-Fuller tests for unit roots based on
Banerjee's et al. tables and on J.G. McKinnons' numerical distribution
functions.
}
\usage{
unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL,
description = NULL)
}
\arguments{
\item{x}{
a numeric vector or time series object.
}
\item{lags}{
the maximum number of lags used for error term correction.
}
\item{type}{
a character string describing the type of the unit root
regression. Valid choices are \code{"nc"} for a regression with no
intercept (constant) nor time trend, \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"}.
}
\item{title}{
a character string which allows for a project title.
}
\item{description}{
a character string which allows for a brief description.
}
}
\details{
\code{adfTest()} computes test statistics and p-values along the
implementation from Trapletti's augmented Dickey-Fuller test for
unit roots. In contrast to Trapletti's function, three kind of test
types can be selected.
\code{unitrootTest()} computes test statistics and p-values using
McKinnon's response surface approach.
}
\value{
an object from S4 class \code{"fHTEST"} with the following slots:
\item{@call}{
the function call.
}
\item{@data}{
a data frame with the input data.
}
\item{@data.name}{
a character string giving the name of the data frame.
}
\item{@test}{
a list object which holds the output of the underlying test
function.
}
\item{@title}{
a character string with the name of the test.
}
\item{@description}{
a character string with a brief description of the test.
}
The entries of the \code{@test} slot include the following components:
\item{$statistic}{
the value of the test statistic.
}
\item{$parameter}{
the lag order.
}
\item{$p.value}{
the p-value of the test.
}
\item{$method}{
a character string indicating what type of test was performed.
}
\item{$data.name}{
a character string giving the name of the data.
}
\item{$alternative}{
a character string describing the alternative hypothesis.
}
\item{$name}{
the name of the underlying function, which may be wrapped.
}
\item{$output}{
additional test results to be printed.
}
}
\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.
MacKinnon, J.G. (1996);
\emph{Numerical distribution functions for unit root and
cointegration tests},
Journal of Applied Econometrics 11, 601--618.
Said S.E., Dickey D.A. (1984);
\emph{Testing for Unit Roots in Autoregressive-Moving Average
Models of Unknown Order},
Biometrika 71, 599--607.
}
\author{
Adrian Trapletti for the tests adapted from R's "tseries" package, \cr
Diethelm Wuertz for the Rmetrics \R-port.
}
\examples{
## a time series which contains no unit-root:
x <- rnorm(1000)
## a time series which contains a unit-root:
y <- cumsum(c(0, x))
adfTest(x)
adfTest(y)
unitrootTest(x)
unitrootTest(y)
}
\keyword{htest}
|
