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? 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?
Help is greatly appreciated.
Thanks in advance.
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