Thanks a lot for your answers, Dennis and Bernhard!
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Dear Cuckovic,
although you got already an answer to your post that relates a little bit more
on the time series characteristics of your data in question; I will take up on
your initial question. Basically, you got trapped by the word 'time series' in
the documentation for adf.test(). What is m
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!!
adf.test(
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-r
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 'licence()
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 d
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