No ADF test in Zorro?

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No ADF test in Zorro? #485752 04/19/22 07:53 04/19/22 07:53
Joined: Feb 2022 Posts: 21 T TrumpLost OP Newbie
TrumpLost OP Newbie T Joined: Feb 2022 Posts: 21	I'm surprised there's no ADF test built-in for Zorro. Is there any function in Zorro to test for unit root?

Re: No ADF test in Zorro? [Re: TrumpLost] #485756 04/19/22 10:07 04/19/22 10:07
Joined: Apr 2008 Posts: 599 Austria Petra Support
Petra Support Joined: Apr 2008 Posts: 599 Austria	Things are built in when people need them, but it seems no one until now wanted an ADF test. If you have C code you can implement it yourself, or you call it from a R package.

Re: No ADF test in Zorro? [Re: TrumpLost] #485761 04/19/22 11:54 04/19/22 11:54
Joined: Jul 2000 Posts: 28,072 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 28,072 Frankfurt	You can use the ADF test from the "tseries" package. Ex = adf.test(MyDataSeries) Ex$statistic is the Dickey-Fuller statistic, Ex$parameter is the lag order, and Ex$p.value is the p-value.

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