| adfrecst-class {uroot} | R Documentation |
This class contains information from the Augmented Dickey-Fuller unit root test computed recursively along subsamples of the original data.
wts:"ts": Original time series.type:"character": how the subsamples are defined.nsub:"numeric": the number of observations in each subsample.itsd:"numeric": Deterministic regressors included in the
auxiliar regression, namely intercept, trend, and/or seasonal dummies.regvar:"numeric": Regressor variables. Not considered in this
procedure.selectlags:"list": Method for selecting lags and the maximum
order considered.recstats:"matrix": statistics in each subsample.elaps:"list": elapsed time during computation.signature(x = "adfrecst", y = "missing"). Plot the ADF statistics along the
subsamples.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.