www.gusucode.com > econ 案例源码程序 matlab代码 > econ/ConductanAugmentedDickeyFullerTestAgainstaTrendStationarExample.m
%% Conduct an Augmented Dickey-Fuller Test Against a Trend-Stationary Alternative % Test a time series for a unit root against a trend-stationary alternative % augmented with lagged difference terms. % Copyright 2015 The MathWorks, Inc. %% % Load a time series of GDP data, and calculate its log. load Data_GDP; Y = log(Data); %% % Test for a unit root against a trend-stationary alternative, augmenting % the model with 0, 1, and 2 lagged difference terms. h = adftest(Y,'model','TS','lags',0:2) %% % |adftest| treats the three lag choices as three separate tests, and returns % a vector with rejection decisions for each test. The values |h = 0| indicate % that all three tests fail to reject the null hypothesis of a unit root % against the trend-stationary alternative.