Dear R users,
I am applying the augmented-Dickey-Fuller Unit Root Test
(ur.df function of the urca package) to a time series of
approximately 50 values.
To be sure I understood what was going on with the ur.df
function, I checked the critical values of the 3 test
statistics (tau, phi2 and phi3 if a trend is included) or
the 2 test statistics (tau and phi1 if only a drift is
included) with the values found in Hamilton (1994) and
Dickey and Fuller (1981).
The ur.df function critical values correspond to Hamilton's
critical values for a sample of size 100. I was surprised
that it does not correspond to the values for a sample of
I was then wondering if there was an error somewhere or if I
did not understand something. Since I am not an expert in
that field, I may have misunderstood something.
Thank you very much for your help!
With kind regards,
Ecole des HEC
Universite de Lausanne
Tel (+41 21) 692 33 72