[R] Dickey–Fuller test in R

[Gavin Simpson]

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 is the other one?

This is ur.df in package urca? If so, from ?ur.df

Details:

     The function ‘ur.df()’ computes the augmented Dickey-Fuller test.
     If type is set to ‘"none"’ neither an intercept nor a trend is
     included in the test regression. If it is set to ‘"drift"’ an
     intercept is added and if it is set to ‘"trend"’ both an intercept
     and a trend is added. The critical values are taken from Hamilton
     (1994) and Dickey and Fuller(1981).

So as you selected type = "drift" the second value is for the intercept
added to the test regression.

I'm not familiar with the package nor this particular test so can't hep
further. You might also like to compare this with adf.test() in package
tseries.

HTH

G

> Please help.
> 
> TIA
> Aditya

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