[R] Augmented Dickey Fuller test
Achim.Zeileis at uibk.ac.at
Fri Apr 28 14:01:46 CEST 2017
On Fri, 28 Apr 2017, T.Riedle wrote:
> Dear all,
> I am trying to run an ADF test using the adf.test() function in the
> tseries package and the ur.df() function in the urca package. The
> results I get contrast sharply. Whilst the adf.test() indicates
> stationarity which is in line with the corresponding graph, the ur.df()
> indicates non-stationarity.
> Why does this happen?
This is likely due to different setting for the deterministic part of the
model and/or the number of lags tested. The defaults of ur.df() are often
not suitable for many practical applications which might to spurious
> Could anybody explain the adf.test() function in more detail? How does
> adf.test() select the number of lags is it AIC or BIC and how does it
> take an intercept and/or a trend into account?
There is a deterministic trend and the default number of lags is selected
by a heuristic.
I've summarized an overview that I had written for my students. It might
also be helpful for you.
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