Displaying 1 result from an estimated 1 matches for "staionarity".
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stationarity
2003 Jun 03
1
tseries "adf.test"
I have a question regarding the adf.test command in the tseries library.
I have a vector of time series observations (2265 daily log prices for the
OEX to be exact). I also have this same data in first-differenced form. I
want to test both vectors individually for staionarity with an Augmented
Dickey-Fuller test. I noticed when I use the adf.test command from the
tseries library, the general regression command used incorporates a constant
and a linear trend -- (trend "order" of 1, I presume). My specific
questions are as follows: (1) is it possible to alter...