a logical flag. Should the asymptotic value included into
the table?
N
the number of observations in the sample from which the
quantiles are to be computed.
p
a numeric vector of probabilities. Missing values are
allowed.
q
vector of quantiles or test statistics. Missing values
are allowed.
statistic
a character string describing the type of test statistic.
Valid choices are "t" for t-statistic, and "n"
for normalized statistic, sometimes referred to as the
rho-statistic. The default is "t".
trend
a character string describing the regression from which the
quantiles are to be computed. Valid choices are: "nc"
for a regression with no intercept (constant) nor time trend,
and "c" for a regression with an intercept (constant)
but no time trend, "ct" for a regression with an intercept
(constant) and a time trend. The default is "c".
Value
The function padf returns the cumulative probability of
the finite sample distribution of the unit root test statistics.
The function qadf returns the quantiles of the finite sample
distribution of the unit root test statistics, given the probabilities.
Note
The functions padf and qadf use the tables from
A. Banerjee et al. (1993).
Author(s)
Diethelm Wuertz for the Rmetrics R-port.
References
Banerjee A., Dolado J.J., Galbraith J.W., Hendry D.F. (1993);
Cointegration, Error Correction, and the Econometric
Analysis of Non-Stationary Data,
Oxford University Press, Oxford.
Dickey, D.A., Fuller, W.A. (1979);
Distribution of the estimators for autoregressive time
series with a unit root,
Journal of the American Statistical Association 74, 427–431.