| adfstat-class {uroot} | R Documentation |
This class contains information from the Augmented Dickey-Fuller unit root test.
wts:"ts": Original time series.itsd:"numeric": Deterministic regressors included in the
auxiliar regression, namely intercept, trend, and/or seasonal dummies.regvar:"maybeRegvar": Regressor variables included in auxiliar
regression.selectlags:"list": Method for selecting lags and the maximum
order considered.regvarcoefs:"maybeRegvar": Regressor variables estimates.lagsorder:"maybeLags": Selected lags order.lagcoefs:"maybeLags": Lags estimates.res:"numeric": Residuals from the auxiliar regression.lmadf:"lm": Auxiliar regression fitted.stat:"matrix": ADF statistic.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1071.
W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh Wiley, New York.