Dear Jake,
have you had a look at the function 'ud.df()' contained in the package urca?
You will find:
library(urca)
args(ur.df)
function (y, type = c(none, drift, trend), lags = 1, selectlags =
c(Fixed,
AIC, BIC))
HTH,
Bernhard
-Ursprüngliche Nachricht-
Von: r-help-boun...@r-project.org
[mailto:r-help-boun...@r-project.org] Im Auftrag von jbrukh
Gesendet: Freitag, 15. Mai 2009 20:37
An: r-help@r-project.org
Betreff: [R] Dickey-Fuller Tests with no constant and no trend
R has a Dickey-Fuller Test implementation (adf.test) that
tests for unit
roots in an autoregressive process with a constant and linear
trend. Is
there a DF implementation that doesn't use the constant or trend?
Thanks,
Jake.
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