subject:"\[R\] Dickey–Fuller test in R"

Re: [R] Dickey–Fuller test in R

2010-08-23 Thread Gavin Simpson

On Mon, 2010-08-23 at 08:18 +0530, Aditya Damani wrote: > Hi, > > While doing the adf test using ur.df > “price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC") > summary(price.df2)” > > It gives two values for “value of test statistic is: -1.5992 2.32” > one value is the t-test (or t-r

[R] Dickey–Fuller test in R

2010-08-22 Thread Aditya Damani

Hi, While doing the adf test using ur.df “price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC") summary(price.df2)” It gives two values for “value of test statistic is: -1.5992 2.32” one value is the t-test (or t-ratio), what is the other one? Please help. TIA Aditya ___