[R] tseries "adf.test"

rwatkins@cornerstonelp.com rwatkins at cornerstonelp.com
Tue Jun 3 15:29:28 CEST 2003


I have a question regarding the adf.test command in the tseries library.

	I have a vector of time series observations (2265 daily log prices for the
OEX to be exact).  I also have this same data in first-differenced form.  I
want to test both vectors individually for staionarity with an Augmented
Dickey-Fuller test.  I noticed when I use the adf.test command from the
tseries library, the general regression command used incorporates a constant
and a linear trend -- (trend "order" of 1, I presume).  My specific
questions are as follows: (1) is it possible to alter the function to use a
regression that does not incluse a linear trend? , because (2) it seems to
me that I do not need to "detrend" if I've already taken first differences.

	Thanks in advance for your assistance.
Rick




More information about the R-help mailing list