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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: 585
Austria
Petra
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Petra
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Posts: 585
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: 27,978
Frankfurt
jcl
Chief Engineer
jcl
Chief Engineer
Joined:
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Posts: 27,978
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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Petra
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