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[adf test]

In autoregressive time series models the presence of unit root causes a violation of the assumptions of classical linear regressions. A unit root means that the observed time series is not stationary. When nonstationary time series are used in a regression model one may obtain apparently significant relationships from unrelated variables. This phenomenon is called spurious regression.

One of the most widespread unit root test is the Augmented Dickey Fuller (ADF) test. The standard Dickey Fuller test estimates following equation:

The case where  corresponds to the random walk which is non-stationary. The Dickey Fuller test tests whether . This t-statistic does not converge to the normal distribution but instead to the distribution of a functional of Wiener process.

The Dickey Fuller test is only valid for AR(1) processes. If the time series is correlated at higher lags, the augmented Dickey Fuller test constructs a parameter correction for higher order correlation, by adding lag differences of the time series:

The order of p could be chosen by minimising information criteria such as Akaike or Schwarz.



Dickey Fuller show that under the null hypothesis of a unit root the statistic does not follow the Student t-statistic. This Add-In interpolate the critical and p-values from a table of MacKinnon (1991,1996).

The order of differences lags could be chosen by minimising Information criteria (Akaike, Schwarz, …).
The Add-In includes also two function to calculate critical and p-values.

This dll is written in C++. [web:reg] unit root DLL is a programmers' tool that lets you add the augmented Dickey Fuller test to your programs quickly and easily. You do not have to know anything about numerical methods to use the ADF test – just add it to your project like any other DLL and call its functions.

You could call the ADF test with manual lag length selection as well as with automatic lag length selection (Akaike, Schwarz, Hannan Quinn).
There are examples for VisualBasic and C++ included. Please note that this DLL is a 14 day trial. It will be freeware in the future freeware.

[related links]

All links will be open in a new window

fortran program, by MacKinnon, calculates critical and p-values. (HTML)

ADF Test. A brief introduction. (PDF)

Examples os spurios regressions, really funny (PDF)

Links to other sites from these pages are for information only and Kurt Annen accepts no responsibility or liability for access to, or the material on, any site which is linked from or to this site.


for downloading click on the filename

File: setup_unit-root_dll.exe
Filesize: 663 kb

The [web:reg] unit root test (adf test) dll was written by Kurt Annen. This program is 14 days trial. I would highly appreciate if you could give me credit for my work by providing me with information about possible open positions as an economist. My focus as an economist is on econometrics and dynamic macroeconomics. If you like the program, please send me an email.

[unit root test (adf-test) dll]
© 2005 Kurt Annen