df.test {NlinTS}

Augmented Dickey_Fuller test

Description

Augmented Dickey_Fuller test

Usage

df.test(ts, lag)

Arguments

ts

Numerical dataframe.

lag

The lag parameter.

Details

Computes the stationarity test for a given univariate time series.

Value

df: returns the value of the test.

summary (): shows the test results.

References

Elliott G, Rothenberg TJ, Stock JH (1992). “Efficient tests for an autoregressive unit root.”

Examples

library (timeSeries)
library (NlinTS)
#load data
data = LPP2005REC
model = df.test (data[,1], 1)
model$summary ()