AugmentedDickeyFullerTest Class

public class AugmentedDickeyFullerTest : OneSampleTest<double>

Public Class AugmentedDickeyFullerTest
	Inherits OneSampleTest(Of Double)

public ref class AugmentedDickeyFullerTest : public OneSampleTest<double>

type AugmentedDickeyFullerTest = 
    class
        inherit OneSampleTest<float>
    end

Inheritance

Object  →  HypothesisTest  →  OneSampleTest<Double>  →  AugmentedDickeyFullerTest

Use the AugmentedDickeyFullerTest class to test whether a time series has a unit root. The null hypothesis is that the series has a unit root. The alternative hypothesis is that the series is stationary or trend-stationary.

The test is based on a regression of a time series model that may include a constant term (for drift) and a trend term. By default, both drift and trend are included. This can be modified by setting the Type property.

The number of lag terms can be specified using the Order property. A value of 0 corresponds to the original Dickey-Fuller test. When the order is less than 0, the order is computed as the cube root of the sample size.

Reference