4.8.2.1.2. statsmodels.tsa.adfvalues.mackinnonp¶

statsmodels.tsa.adfvalues.mackinnonp(teststat, regression='c', N=1, lags=None)[source]¶

Returns MacKinnon’s approximate p-value for teststat.

Parameters:

teststat : float

“T-value” from an Augmented Dickey-Fuller regression.

regression : str {“c”, “nc”, “ct”, “ctt”}

This is the method of regression that was used. Following MacKinnon’s notation, this can be “c” for constant, “nc” for no constant, “ct” for constant and trend, and “ctt” for constant, trend, and trend-squared.

N : int

The number of series believed to be I(1). For (Augmented) Dickey- Fuller N = 1.

Returns:

p-value : float

The p-value for the ADF statistic estimated using MacKinnon 1994.

Notes

For (A)DF H_0: AR coefficient = 1 H_a: AR coefficient < 1

References

MacKinnon, J.G. 1994 “Approximate Asymptotic Distribution Functions for: Unit-Root and Cointegration Tests.” Journal of Business & Economics Statistics, 12.2, 167-76.