exuber
Recursive Augmented Dickey-Fuller
Augment into a joint model
augment_join.radf_obj augment_join(x, y = NULL, trunc = TRUE, ...)Augment and then join the full statistic sequences of a radf_obj with the critical-value sequences of a radf_cv, with one row for each observation. This is the table autoplot.radf_obj is built on.
Arguments
| x | An object of class radf_obj. |
| y | An object of class radf_cv. The output will depend on the type of
critical value. |
| trunc | Whether to remove the period of the minimum window from the plot (default = TRUE). |
| ... | Further arguments passed to methods. Not used. |
Value
A tibble::tibble()
Examples
These examples are copied from the package's own documentation and are run by R CMD check on every release.
The printed output (after #>) and the plots were produced by running them against the current package source.
rsim_data <- radf(sim_data, minw = 20)
cv <- radf_wb_cv(sim_data, minw = 20)
# Join the statistic path and the critical-value path. This is the table autoplot() is built on
aj <- augment_join(rsim_data, cv)
aj
#> # A tibble: 2,400 × 8
#> key index id data stat tstat sig crit
#> <int> <dbl> <fct> <dbl> <fct> <dbl> <fct> <dbl>
#> 1 21 21 psy1 110. badf -2.36 90 -0.131
#> 2 22 22 psy1 98.1 badf -2.49 90 -0.0555
#> 3 23 23 psy1 91.0 badf -2.26 90 -0.0655
#> 4 24 24 psy1 80.4 badf -1.63 90 -0.116
#> 5 25 25 psy1 69.2 badf -0.815 90 0.0646
#> 6 26 26 psy1 72.3 badf -0.960 90 -0.0694
#> 7 27 27 psy1 67.7 badf -0.693 90 -0.132
#> 8 28 28 psy1 69.1 badf -0.771 90 -0.252
#> 9 29 29 psy1 65.4 badf -0.609 90 -0.287
#> 10 30 30 psy1 72.4 badf -0.939 90 -0.273
#> # ℹ 2,390 more rows
# Reproduce (a simplified version of) autoplot()'s own bsadf-vs-crit line plot
library(ggplot2)
aj %>%
dplyr::filter(sig == 95, stat == "bsadf") %>%
tidyr::pivot_longer(c(tstat, crit), names_to = "series") %>%
ggplot(aes(index, value, col = series)) +
geom_line() +
facet_wrap(~id, scales = "free")