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?
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
