R has a Dickey-Fuller Test implementation (adf.test) that tests for unit roots in an autoregressive process with a constant and linear trend. Is there a DF implementation that doesn't use the constant or trend? Thanks, Jake. -- View this message in context: http://www.nabble.com/Dickey-Fuller-Tests-with-no-constant-and-no-trend-tp23565210p23565210.html Sent from the R help mailing list archive at Nabble.com.
Pfaff, Bernhard Dr.
2009-May-18 07:54 UTC
[R] Dickey-Fuller Tests with no constant and no trend
Dear Jake, have you had a look at the function 'ud.df()' contained in the package urca? You will find:> library(urca) > args(ur.df)function (y, type = c("none", "drift", "trend"), lags = 1, selectlags = c("Fixed", "AIC", "BIC")) HTH, Bernhard>-----Urspr?ngliche Nachricht----- >Von: r-help-bounces at r-project.org >[mailto:r-help-bounces at r-project.org] Im Auftrag von jbrukh >Gesendet: Freitag, 15. Mai 2009 20:37 >An: r-help at r-project.org >Betreff: [R] Dickey-Fuller Tests with no constant and no trend > > >R has a Dickey-Fuller Test implementation (adf.test) that >tests for unit >roots in an autoregressive process with a constant and linear >trend. Is >there a DF implementation that doesn't use the constant or trend? > >Thanks, >Jake. > >-- >View this message in context: >http://www.nabble.com/Dickey-Fuller-Tests-with-no-constant-and- >no-trend-tp23565210p23565210.html >Sent from the R help mailing list archive at Nabble.com. > >______________________________________________ >R-help at r-project.org mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. >***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}}