On Mon, 9 Sep 2013, bgnumis wrote:
Hi all,
Imagine I hava e a simulated variable
original<-matrix(rnorm(10000),100,100)
If I install tseries and I run adf.test(original[,2],k=0)
the result is:
Augmented Dickey-Fuller Test
data: original[, 2]
Dickey-Fuller = -11.5645, Lag order = 0, p-value = 0.01
alternative hypothesis: stationary
Mensajes de aviso perdidos
In adf.test(original[, 2], k = 0) : p-value smaller than printed p-value
I want to obtain de Dickey-Fuller -11.5645 but I cannot achive, I have
tried all similar to that
coef(summary(lm(originaldiff[[]~(1+originaltminus1) ) ))[2,"t value"]
More or less to obtain the t value is this formala no?
Has anyone prove me applying code that the ADF is similar like in a lm
stimation?
## simulate white noise time series
set.seed(1)
x <- ts(rnorm(1000))
## conduct ADF test with only one lag
adf.test(x, k = 1)
## set up series differences and lags
d <- ts.intersect(dx = diff(x), x1 = lag(x, -1), dx1 = lag(diff(x), -1))
## auxiliary regression (lagged levels, lagged differences, time trend)
m <- lm(dx ~ x1 + dx1 + time(d), data = d)
## t statistic of lagged levels
summary(m)$coefficients[2,3]
Note that the default number of lags included in the auxiliary regression
is higher by default, see ?adf.test. There are also other implmentations
available in R that offer more/other options to ADF testing, e.g., "urca"
and "CADFtest" (see http://www.jstatsoft.org/v32/i02/).
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