R Unit Root Tests

May 26, 2010 by · Leave a Comment
Filed under: Notes 

From adf.test help

package: tseries

x <- rnorm(1000) # no unit-root
adf.test(x)
Augmented Dickey-Fuller Test
data: x
Dickey-Fuller = -10.0235, Lag order = 9, p-value = 0.01 <- Safe to reject null hypothesis that x has a unit root
alternative hypothesis: stationary
Warning message:
In adf.test(x) : p-value smaller than printed p-value
PP.test(x)
Phillips-Perron Unit Root Test
data: x
Dickey-Fuller = -33.4783, Truncation lag parameter = 7, p-value = 0.01<- Safe to reject null hypothesis that x has a unit root

y <- diffinv(x) # contains a unit-root
adf.test(y)
Augmented Dickey-Fuller Test
data: y
Dickey-Fuller = -1.7578, Lag order = 9, p-value = 0.6808 <- Fail to reject null hypothesis that x has a unit root
alternative hypothesis: stationary
PP.test(y)
Phillips-Perron Unit Root Test
data: y
Dickey-Fuller = -1.9082, Truncation lag parameter = 7, p-value = 0.6172 <- Failto reject null hypothesis that x has a unit root