[R] ADF

bgnumis
Mon, 09 Sep 2013 14:41:20 -0000

Hi all,

Imagine I hava e a simulated variable
 original<-matrix(rnorm(10000),100,100)

If I install tseries and I run adf.test(original[,2],k=0)

the result is:

Augmented Dickey-Fuller Test

data:  original[, 2]
Dickey-Fuller = -11.5645, Lag order = 0, p-value = 0.01
alternative hypothesis: stationary

Mensajes de aviso perdidos
In adf.test(original[, 2], k = 0) : p-value smaller than printed p-value

I want to obtain de Dickey-Fuller -11.5645 but I cannot achive, I have
tried all similar to that

coef(summary(lm(originaldiff[[]~(1+originaltminus1)  ) ))[2,"t value"]

More or less to obtain the t value is this formala no?

Has anyone prove me applying code that the ADF is similar like in a lm
stimation?

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