Unit Root Tests in R (ADF, PP, KPSS & Zivot-Andrews).

This video is on how to conduct unit root tests in R software. You need to install "urca" package.

[kshashank]

Calculated value is 1.33 and tabulated values are negative; which means calculated value > tabulated value. As per rule you have to reject the null hypothesis.

[subhajitroy]

Thank you so much for making this video, it has been a great help. Appreciate the amount of effort you have put into this.

[alexandrodisla]

The second rule of thumb, he forgot to mention. when you are conducting unit root testing. you start with the big model. For the ADF, we have three model. The 3rd one is the model with constant and trend. you do the test. if it's not stationary, you test the second model i.e with constant only. if it fails, we test the model with no constant and no trend. if it fails, we proceed by differencing the series. Now you repeat everything, the first model to succeed we keep it.
it's the same for the other test.


Remember there's a thing called trend stationary, keep a eye on that one

[aleksiakainovic]

This was SO helpful. Thank you so much!

[francescadovidio]

This video saved me! Thank you very much.

[mariaqurban]

as you stated that if the calculated value is greater than tabulated then we will reject null hypothesis ...is this statements valid without bothering the negative signs with critical values?

[ashishsangwan]

While performing adf, ...if 'none' reject null hypothesis and 'drift' doesn't rejects null hypothesis or vice versa then what will happen ?

[svurakiofara]

in ADF test H0 is non stationary and in KPSS H0 is

[nithin.m]

Do you know how to get table output? i mean tidy the data like adf.test from tseries package?

[svurakiofara]

That is why in adf we want to reject H0 to get a stationary !