I have a question regarding the adf.test command in the tseries library. I have a vector of time series observations (2265 daily log prices for the OEX to be exact). I also have this same data in first-differenced form. I want to test both vectors individually for staionarity with an Augmented Dickey-Fuller test. I noticed when I use the adf.test command from the tseries library, the general regression command used incorporates a constant and a linear trend -- (trend "order" of 1, I presume). My specific questions are as follows: (1) is it possible to alter the function to use a regression that does not incluse a linear trend? , because (2) it seems to me that I do not need to "detrend" if I've already taken first differences.
Thanks in advance for your assistance. Rick Hello Rick, you might find the following link useful: http://www.econ.uiuc.edu/~econ472/tutorial9.html Pls note, that one typically follows a testing strategy in order to infer the characteristics of the time series in question (pure random walk, random with drift or random walk with drift and deterministic trend). The F-type test statistics (denoted by phi1, phi2, phi3 in the literature) can be calculated by making use of anova() and checking against the relevant critical values of these test statistics. HTH, Bernhard ---------------------------------------------------------------------- If you have received this e-mail in error or wish to read our e-mail disclaimer statement and monitoring policy, please refer to http://www.drkw.com/disc/email/ or contact the sender. ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help