[R] Help on function adf.test

[Gabor Grothendieck]

Put your time series into a ts or zoo object.  Now using
EuStockMarkets which is builtin data set in R.  (You might
want to use align = "right" in rollapply.)

library(tseries)
library(zoo)
eu91 <- window(EuStockMarkets, end = 1992)  # use portion for test data
eu91.p.value <- rollapply(eu91, 61, function(x) adf.test(x)$p.value)

On 8/28/06, Spiros Mesomeris <mesomeris at yahoo.co.uk> wrote:
> Hello everybody,
>
>  I've got a matrix called EUROPEDATA and I want to calculate the adf test statistic (part of the tseries package) on a rolling basis for window my.win on each column; i.e. each column of EUROPEDATA represents a particular variable; for the first column I calculate the adf test statistic for window my.win = 60 for example, roll forward one observation, calculate the adf again, and so on, until the end of the first column is reached and then I jump to the second column etc. The code for doing this is given below:
>
>  adfroll <- sapply(1:(ncol(EUROPEDATA)), function(i, my.data, my.win)
>  {
>  sss <- sapply(1:(nrow(my.data)-my.win), function (j, my.data, my.win)
>  { my.data <- as.matrix(my.data)
>  ans <- adf.test(na.omit(my.data[j:(j+my.win)]))
>  return(ans$p.value)
>  },my.data=my.data[,i],my.win=my.win)
>  },my.data=EUROPEDATA,my.win=60,simplify=T)
>
>  The problem is that the adf test does not calculate this way. There is an error saying:
>
>  "Error in embed(y, k) : wrong embedding dimension"
>
>  This error is generated from within the adf.test function. The embed function is part of the stats package, which I load before doing the adf.test.
>
>  I would be very obliged if anybody were to explain to me why this happens and how I can correct it/ estimate what I want in a different way that will not invoke this error.
>
>  P.S. the function works fine if the adf.test on each column of the dataset is calculated, that is, without the rolling window for each column:
>
>
>  summaryadf <- sapply(1:ncol(EUROPEDATA),function(i,my.data)
>  {
>  tt <- adf.test(na.omit(my.data[,i]))
>  return(tt$p.value)
>  },my.data=EUROPEDATA)
>
>  Please note that the same error is generated with the pp.test function of the tseries package
>
>  Thanks in advance,
>  Spyros
>
>
> ---------------------------------
>
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