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Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

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title, description, keywords
title description keywords
unitroot This page provides comprehensive instructions and usage examples for the unitroot tool. Unitroot, used for unit root test and stationarity, offers multiple regression methods including c, ct, ctt, and nc.
unitroot
unit root test
stationarity
ADF
KPSS
regression
programming

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

Unit root test / stationarity (ADF, KPSS)

Usage

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

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

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 │        │
└────────────────┴────────────┴────────┘