adfR Documentation

Augmented Dickey Fuller Test

Description

ADF test are used to test stationarity of a time-series data

Usage

adf(x, k = trunc((length(x) - 1)^(1/3)))

Arguments

x

time-series vector

k

the lag order to calculate the test statistic.

References

Trapletti, A., Augmented Dickey-Fuller Test Trapletti, A., KPSS Test for Stationarity

Examples

data(macroKZ)
adf(macroKZ)