XploRe Help : adf

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):

Dickey, D., Fuller, W. "Distribution of the Estimators for autoregressive Time Series with a unit root" Journal of the American Statistical Association 74, page 427-431 Gourieroux, C., Monfort, A. "Time Series and dynamic Models", Cambridge University Press, 1997 (original in french 1990 "Séries Temporelles et Modèles Dynamiques by Économica" Économica)

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