unitroot

Unit root test / stationarity (ADF, KPSS)

Usage

unitroot [-r {c,ct,ctt,nc}] [-k {c,ct}]

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Parameters

Name	Description	Default	Optional	Choices
fuller_reg	Type of regression. Can be ‘c’,’ct’,’ctt’,’nc’ 'c' - Constant and t - trend order	c	True	c, ct, ctt, nc
kpss_reg	Type of regression. Can be ‘c’,’ct'	c	True	c, ct

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Examples

2022 Feb 16, 11:16 (🦋) /stocks/qa/ $ unitroot
         Unit Root Calculation
┏━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━┳━━━━━━━━┓
┃                ┃ ADF        ┃ KPSS   ┃
┡━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━╇━━━━━━━━┩
│ Test Statistic │ -28.9536   │ 0.2928 │
├────────────────┼────────────┼────────┤
│ P-Value        │ 0.0000     │ 0.1000 │
├────────────────┼────────────┼────────┤
│ NLags          │ 0.0000     │ 3      │
├────────────────┼────────────┼────────┤
│ Nobs           │ 759.0000   │        │
├────────────────┼────────────┼────────┤
│ ICBest         │ -3339.2013 │        │
└────────────────┴────────────┴────────┘

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