Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:

Macro: ADF
Description: Calculation of the two tabulated testvalues (the general one is tau) for the Augmented Dickey-Fuller Test of a unit root in an autoregressive process for with a constant and no linear trend

Reference(s):

Usage: (rho,tau)=ADF(z,p)
Input:
y series to be estimated
p number of included past differences in the regresion
Output:
rho
tau

Note:

Example:
x=normal(1000)
x=cumsum(x)
{rho,tau}=ADF(x,7)
Result:
Contents of rho
[1,]   2.0501
Contents of tau
[1,]  0.93084

Library:

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Arne Wuensche 000423
(C) MD*TECH Method and Data Technologies, 17.8.2000