[R] tseries "adf.test"
rwatkins@cornerstonelp.com
rwatkins at cornerstonelp.com
Tue Jun 3 15:29:28 CEST 2003
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
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