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 |
Usage: | (rho,tau)=ADF(z,p) | |
Input: | ||
y series to be estimated | ||
p number of included past differences in the regresion | ||
Output: | ||
rho | ||
tau |
x=normal(1000) x=cumsum(x) {rho,tau}=ADF(x,7)
Contents of rho [1,] 2.0501 Contents of tau [1,] 0.93084
Library: |