library(tseries) library(urca) set.seed(123) e=rnorm(500) x=cumsum(e) plot(x,type="l") # DF Unit Root Test dx=diff(x) n=length(dx) lagx=x[1:n] tr=1:n summary(lm(dx~0+lagx)) qnorm(c(0.01, 0.05, 0.1)/2) df<-ur.df(x, type="none", lags=0) summary(df) summary(lm(dx~lagx)) df.d<-ur.df(x, type="drift", lags=0) summary(df.d) summary(lm(dx~tr+lagx)) df.t<-ur.df(x, type="trend", lags=0) summary(df.t)