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Regresses diff(x)_t on a constant, x_{t-1} and lags lagged differences; the statistic is the t-ratio on x_{t-1}. The null is a unit root, so a statistic BELOW the critical value rejects non-stationarity. Critical values are MacKinnon's (1991) response surface for the constant-only regression, tau = b0 + b1/n + b2/n^2; they are returned rather than a p-value, because interpolating a p-value would need a table the book does not print.

Usage

morie_adfur(x, lags = 1L)

Arguments

x

the series

lags

number of augmenting lagged differences

Value

list(stat, gamma, se, lags, n, crit1, crit5, crit10, stationary5)

Examples

V <- c(1, 2, 3, 4, 5, 6, 7, 8)
morie_adfur(V)
#> $stat
#> [1] 1.619352
#> 
#> $gamma
#> [1] 1.285829e-13
#> 
#> $se
#> [1] 7.940388e-14
#> 
#> $lags
#> [1] 1
#> 
#> $n
#> [1] 6
#> 
#> $crit1
#> [1] -4.986511
#> 
#> $crit5
#> [1] -3.460868
#> 
#> $crit10
#> [1] -2.901198
#> 
#> $stationary5
#> [1] FALSE
#>