: [R] Dickey Fuller Test
Dear Users, please help with the following DF test:
=
library(tseries)
library(timeSeries)
Y=c(3519,3803,4332,4251,4661,4811,4448,4451,4343,4067,4001,3934,3652,3768
,4082,4101,4628,4898,4476,4728,4458,4004,4095,4056,3641,3966,4417,4367
Thanks a lot for your answers, Dennis and Bernhard!
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Dear Users, please help with the following DF test:
=
library(tseries)
library(timeSeries)
Y=c(3519,3803,4332,4251,4661,4811,4448,4451,4343,4067,4001,3934,3652,3768
,4082,4101,4628,4898,4476,4728,4458,4004,4095,4056,3641,3966,4417,4367
Hi:
Since the series is obviously nonstationary and periodic, it would seem that
one should embrace a wider window over which to evaluate the DF test. I did
the following:
y - ts(Y, frequency = 12) # looked like an annual series to me
plot(stl(y, 'periodic')) # very informative!!
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-ratio), what
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
i also having the problem with R .
R version 2.10.0 (2009-10-26)
Copyright (C) 2009 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or
Hi all,
I tried to do a Dickey Fuller test with R using adf.test with a time series of
german stock prices. I have 10 stocks from 1985 to 2009 with monthly stock
prices. So if you do the math I have 289 values for each stock.
I tried to do the test for each stock alone and had the 289 values
The argument 'x' of adf.test should not only be a vector but also a
numeric vector (see ?adf.test). Have a closer look at your data and
how they are stored. What does is.numeric(x) give? I guess that
originally your data are stored as a data frame. Converting a
data.frame to a vector is not
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