UnitrootTests           package:fUnitRoots           R Documentation

_U_n_i_t _R_o_o_t _T_i_m_e _S_e_r_i_e_s _T_e_s_t_s

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

     A collection and description of functions  for unit root testing.
     The family of tests  includes ADF tests based on Banerjee's et al.
     tables and on J.G. McKinnons' numerical  distribution functions. 

     The functions are:

       'adfTest'       Augmented Dickey-Fuller test for unit roots,
       'unitrootTest'  the same based on McKinnons's test statistics.

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

     unitrootTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
         description = NULL)
         
     adfTest(x, lags = 1, type = c("nc", "c", "ct"), title = NULL, 
         description = NULL)

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

description: a character string which allows for a brief description. 

    lags: the maximum number of lags used for error term correction. 

   title: a character string which allows for a project title. 

    type: a character string describing the type of the unit root 
          regression. 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"'.  

       x: a numeric vector or time series object. 

_D_e_t_a_i_l_s:

     The function 'adfTest()' computes test statistics and p values 
     along the implementation from Trapletti's augmented Dickey-Fuller 
     test for unit roots. In contrast to Trapletti's function three
     kind  of test types can be selected.

     The function 'unitrootTest()' computes test statistics and p
     values  using McKinnon's response surface approach.

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

     The tests return an object of class '"fHTEST"' with the following
     slots:

   @call: the function call.       

   @data: a data frame with the input data. 

@data.name: a character string giving the name of the data frame. 

   @test: a list object which holds the output of the underlying test
          function. 

  @title: a character string with the name of the test. 

@description: a character string with a brief description of the test. 

$statistic: the value of the test statistic. 

$parameter: the lag order. 

$p.value: the p-value of the test. 

 $method: a character string indicating what type of test was
          performed. 

$data.name: a character string giving the name of the data. 

$alternative: a character string describing the alternative hypothesis. 

   $name: the name of the underlying function, which may be wrapped. 

 $output: additional test results to be printed. 

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

     Adrian Trapletti for the tests adapted from R's "tseries" package, 
      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. 

     MacKinnon, J.G. (1996); _Numerical distribution functions for unit
     root and  cointegration tests_, Journal of Applied Econometrics
     11, 601-618.

     Said S.E., Dickey D.A. (1984); _Testing for Unit Roots in
     Autoregressive-Moving Average  Models of Unknown Order_,
     Biometrika 71, 599-607.

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

     ## Time Series 
        # A time series which contains no unit-root:
        x = rnorm(1000)  
        # A time series which contains a unit-root:
        y = cumsum(c(0, x))
        
     ## adfTest - 
        adfTest(x)
        adfTest(y)
        
     ## unitrootTest - 
        unitrootTest(x)
        unitrootTest(y)     

