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
tseries "adf.test"
1 message · rwatkins@cornerstonelp.com