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List:       r-help
Subject:    Re: [R] Augmented Dickey Fuller test
From:       Achim Zeileis <Achim.Zeileis () uibk ! ac ! at>
Date:       2017-04-28 12:01:46
Message-ID: alpine.DEB.2.20.1704281356470.4217 () paninaro
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On Fri, 28 Apr 2017, T.Riedle wrote:

> Dear all,
>
> I am trying to run an ADF test using the adf.test() function in the 
> tseries package and the ur.df() function in the urca package. The 
> results I get contrast sharply. Whilst the adf.test() indicates 
> stationarity which is in line with the corresponding graph, the ur.df() 
> indicates non-stationarity.
>
> Why does this happen?

This is likely due to different setting for the deterministic part of the 
model and/or the number of lags tested. The defaults of ur.df() are often 
not suitable for many practical applications which might to spurious 
significant results.

> Could anybody explain the adf.test() function in more detail? How does 
> adf.test() select the number of lags is it AIC or BIC and how does it 
> take an intercept and/or a trend into account?

There is a deterministic trend and the default number of lags is selected 
by a heuristic.

At

https://stats.stackexchange.com/questions/168332/r-augmented-dickey-fuller-adf-test/168355#168355

I've summarized an overview that I had written for my students. It might 
also be helpful for you.

hth,
Z

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