augmented dickey fuller Matlab

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Jan
Jan on 19 Sep 2017
Answered: Jan on 21 Sep 2017
I need to employ Dickey-Fuller test in Matlab, but instead of this test in Matlab exist only augmented Dickey-Fuller test (adftest). There is the explanation in Matlab help https://www.mathworks.com/help/econ/adftest.html that we can "Conduct a Dickey-Fuller Test Without Augmentation" what is "Test a time series for a unit root using the default autoregression model without augmented difference terms." Does it mean that this case is Dickey-Fuller test (without augmentation) for which I am looking for?

Answers (2)

Hang Qian
Hang Qian on 20 Sep 2017
Hi Jan,
Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where
Y(t) = c + phi * Y(t-1) + noise,
H0: phi = 1
By augmentation, we mean lagged terms are added to the equation such that
Y(t) = c + phi * Y(t-1) + beta * (Y(t-1)-Y(t-2)) + noise
- Hang Qian
  1 Comment
Jan
Jan on 20 Sep 2017
Thanks. But what is c? For example here
is given equation only with noise and the first lagged term
Y(t) = phi * Y(t-1) + noise.

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Jan
Jan on 21 Sep 2017
Thanks. But what is c? For example here
https://en.wikipedia.org/wiki/Dickey%25E2%2580%2593Fuller_test
is given equation only with noise and the first lagged term
Y(t) = phi * Y(t-1) + noise.

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