[R] tseries "adf.test"

[Pfaff, Bernhard]

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


Hello Rick,

you might find the following link useful:

http://www.econ.uiuc.edu/~econ472/tutorial9.html

Pls note, that one typically follows a testing strategy in order to infer
the characteristics of the time series in question (pure random walk, random
with drift or random walk with drift and deterministic trend). The F-type
test statistics (denoted by phi1, phi2, phi3 in the literature) can be
calculated by making use of anova() and checking against the relevant
critical values of these test statistics.

HTH,
Bernhard


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