CODEWITHSUNDEEP
rstatistics
vonjd
vonjd

Reputation: 4380

How to extract the original coefficient instead of the t-statistic from adf.test?

In the ADF-Test adf.test from the tseries package the t-statistic for a first order autoregressive coefficient equals one is computed and can be accessed via statistic.

Is there any possibility of extracting the original coefficient that was used in the t-test?

If this is not possible how can I use a different implementation of the ADF-test to access this information there?

Upvotes: 0

Views: 438

Answers (2)

Vincent Zoonekynd
Vincent Zoonekynd

Reputation: 32351

You can look at the code of the adf.test function: the coefficients are apparently not kept, but you can easily compute them yourself. There are many other implementations; you can check if they return more information: 

library(sos)
???"Dickey-Fuller"

Upvotes: 1

Sacha Epskamp
Sacha Epskamp

Reputation: 47551

That function returns a htest object which is just a list:

res <- adf.test(...
res$statistic

Upvotes: 0

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