DickeyFullerPValues        package:fUnitRoots        R Documentation

_D_i_c_k_e_y-_F_u_l_l_e_r _p _V_a_l_u_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions  to compute the
     distribution and quantile  function for the ADF unit root test
     statistics.  

     The functions are:

       'padf'      the returns cumulative probability for the ADF test,
       'qadf'      the returns quantiles for the ADF test,
       'adfTable'  tables p values for ADF test.

_U_s_a_g_e:

     padf(q, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n")) 
     qadf(p, N = Inf, trend = c("nc", "c", "ct"), statistic = c("t", "n"))

     adfTable(trend = c("nc", "c", "ct"), statistic = c("t", "n"), 
         includeInf = TRUE)

_A_r_g_u_m_e_n_t_s:

includeInf: a logical flag. Should the asymptotic value included into
          the table? 

       N: the number of observations in the sample from which the 
          quantiles are to be computed.


       p: a numeric vector of probabilities. Missing values are 
          allowed.  

       q: vector of quantiles or test statistics. Missing values  are
          allowed.  

statistic: a character string describing the type of test statistic. 
          Valid choices are '"t"' for t-statistic, and '"n"'  for
          normalized statistic, sometimes referred to as the 
          rho-statistic. The default is '"t"'.  

   trend: a character string describing the regression from which the 
          quantiles are to be computed. Valid choices are: '"nc"'  for
          a regression with no intercept (constant) nor time trend, 
          and '"c"' for a regression with an intercept (constant)  but
          no time trend, '"ct"' for a regression with an intercept 
          (constant) and a time trend. The default is '"c"'.  

_V_a_l_u_e:

     The function 'padf' returns the cumulative probability of  the
     finite sample distribution of the unit root test statistics. 

     The function 'qadf' returns the quantiles of the finite sample 
     distribution of the unit root test statistics, given the
     probabilities.

_N_o_t_e:

     The functions 'padf' and 'qadf' use the tables from  A. Banerjee
     et al. (1993).

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_R_e_f_e_r_e_n_c_e_s:

     Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993);
     _Cointegration, Error Correction, and the Econometric  Analysis of
     Non-Stationary Data_, Oxford University Press, Oxford. 

     Dickey, D.A., Fuller, W.A. (1979); _Distribution of the estimators
     for autoregressive time  series with a unit root_,  Journal of the
     American Statistical Association 74, 427-431.

_E_x_a_m_p_l_e_s:

        
     ## ADF dftesTable -
        adfTable()

