No ADF test in Zorro?

I'm surprised there's no ADF test built-in for Zorro. Is there any function in Zorro to test for unit root?

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.

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.