{"id":2550,"date":"2021-06-08T18:44:05","date_gmt":"2021-06-08T18:44:05","guid":{"rendered":"https:\/\/ricovictor.com\/?p=2550"},"modified":"2026-01-29T21:47:17","modified_gmt":"2026-01-29T21:47:17","slug":"prueba-de-raiz-unitaria-de-dickey-fuller-en-r","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2021\/06\/08\/prueba-de-raiz-unitaria-de-dickey-fuller-en-r\/","title":{"rendered":"Prueba de Raiz Unitaria de DICKEY FULLER en R"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"2550\" class=\"elementor elementor-2550\">\n\t\t\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-7e2ee8a0 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"7e2ee8a0\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-wide\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-top-column elementor-element elementor-element-5be05d64\" data-id=\"5be05d64\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-6531ff0b elementor-widget elementor-widget-text-editor\" data-id=\"6531ff0b\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<p>El Test o <strong>Prueba de Dickey Fuller<\/strong> es una forma para determinar si existen <strong>ra\u00edces unitarias<\/strong> en las series de tiempo y por tanto comprobar la existencia de <strong>ESTACIONARIEDAD<\/strong>.<\/p><p>En este tutorial vamos a explicar te\u00f3ricamente c\u00f3mo se crea la prueba,su sentido, y luego haremos un ejemplo pr\u00e1ctico usando las funciones de R.<\/p><p>Adem\u00e1s pinchando en el bot\u00f3n puedes descargar el esquema-resumen que uso en el v\u00eddeo. Tambi\u00e9n m\u00e1s abajo tienes el c\u00f3digo R.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-a00ad74 elementor-button-info elementor-align-center elementor-widget elementor-widget-button\" data-id=\"a00ad74\" data-element_type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-xl\" href=\"https:\/\/ricovictor.com\/wp-content\/uploads\/2021\/06\/TEST-DE-DICKEY-FULLER.docx\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-icon elementor-align-icon-left\">\n\t\t\t\t<i aria-hidden=\"true\" class=\"far fa-arrow-alt-circle-down\"><\/i>\t\t\t<\/span>\n\t\t\t\t\t\t<span class=\"elementor-button-text\">Descarga el WORD <\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-top-column elementor-element elementor-element-3a9818d8\" data-id=\"3a9818d8\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-40c9dfa1 elementor-widget elementor-widget-video\" data-id=\"40c9dfa1\" data-element_type=\"widget\" data-settings=\"{&quot;youtube_url&quot;:&quot;https:\\\/\\\/youtu.be\\\/ZjzX1cZ9ObM&quot;,&quot;video_type&quot;:&quot;youtube&quot;,&quot;controls&quot;:&quot;yes&quot;}\" data-widget_type=\"video.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-wrapper elementor-open-inline\">\n\t\t\t<div class=\"elementor-video\"><\/div>\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-5fb68508 elementor-widget-divider--view-line elementor-widget elementor-widget-divider\" data-id=\"5fb68508\" data-element_type=\"widget\" data-widget_type=\"divider.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-divider\">\n\t\t\t<span class=\"elementor-divider-separator\">\n\t\t\t\t\t\t<\/span>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-6e96e8b5 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"6e96e8b5\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-76a08227\" data-id=\"76a08227\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-4af893 elementor-view-stacked elementor-shape-circle elementor-widget elementor-widget-icon\" data-id=\"4af893\" data-element_type=\"widget\" data-widget_type=\"icon.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-icon-wrapper\">\n\t\t\t<div class=\"elementor-icon\">\n\t\t\t<i aria-hidden=\"true\" class=\"fas fa-arrow-circle-down\"><\/i>\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-4c7bd2d5 elementor-widget elementor-widget-text-editor\" data-id=\"4c7bd2d5\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<h2>Codigo R<\/h2><p>#video dickey fuller<\/p><p>#install.packages(\u00abquantmod\u00bb)<br \/>library(quantmod)<br \/>#install.packages(\u00abtseries\u00bb)<br \/>library(tseries)<br \/>#install.packages(\u00abfImport\u00bb)<br \/>library(fImport)<\/p><p>library(\u00abhttr\u00bb)<\/p><p>library(RCurl)<\/p><p>library(rjson)<br \/>#install.packages(\u00abparsedate\u00bb)<br \/>library(parsedate)<br \/>require(tseries)<\/p><p>library(urca)<\/p><p>getSymbols(\u00abLTC-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<br \/>getSymbols(\u00abBTC-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<br \/>getSymbols(\u00abETH-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<br \/>getSymbols(\u00abTHETA-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<\/p><p>getSymbols(\u00abADA-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<br \/>getSymbols(\u00abETH-USD\u00bb,quote=\u00bbClose\u00bb,from =\u00bb2016-01-01&#8243;,periodicity = \u00abdaily\u00bb)<\/p><p><br \/>plot(`BTC-USD`[,4],type=\u00bbl\u00bb)<br \/>plot(`ETH-USD`[,4],type=\u00bbl\u00bb)<br \/>plot(`LTC-USD`[,4],type=\u00bbl\u00bb)<\/p><p>plot(`ADA-USD`[,4],type=\u00bbl\u00bb)<br \/>plot(`THETA-USD`[,4],type=\u00bbl\u00bb)<\/p><p>\u00a0<\/p><p>#### TEST DE DICKEY FULLER STANDARD<\/p><p><br \/>p_litecoin&lt;- na.omit(`LTC-USD`[,4])<\/p><p>adf.test(p_litecoin,k=0) #type 2 cont +tend<\/p><p><br \/>?adf.test<\/p><p><br \/># n\u00famero de datos 1982 +500<br \/># valor critico -3.413 al 5%<br \/># valor t -2.7863<\/p><p><br \/>#compara el valor critico con el t<\/p><p># t&gt; v_crit<\/p><p>#Prueba de Dickey-Fuller<\/p><p><br \/>#Con intercepto y constante<\/p><p>y=ur.df(p_litecoin,type=\u00bbtrend\u00bb,lags=0)<br \/>summary(y)<\/p><p>y@teststat<br \/>y@cval<\/p><p>?ur.df<\/p><p>### retornos la de serie<\/p><p>d_litecoin&lt;- na.omit(diff(log(p_litecoin)))<\/p><p>plot(d_litecoin,type=\u00bbl\u00bb)<\/p><p>y_ret=ur.df(d_litecoin,type=\u00bbtrend\u00bb,lags=0)<br \/>summary(y_ret)<\/p><p>adf.test(d_litecoin,k=0)<\/p><p>#con intercepto<\/p><p><br \/>y_intercept=ur.df(p_litecoin, type=\u00bbdrift\u00bb,lags=0)<br \/>summary(y_intercept)<\/p><p><br \/>#Sin tendencia y sin intercepto<\/p><p>y_nada=ur.df(p_litecoin, type=\u00bbnone\u00bb,lags=0)<br \/>summary(y_nada)<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-51b6c5cf elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"51b6c5cf\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-top-column elementor-element elementor-element-2c7a2582\" data-id=\"2c7a2582\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-6e4b985a elementor-align-center elementor-widget elementor-widget-button\" data-id=\"6e4b985a\" data-element_type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-md\" href=\"https:\/\/ricovictor.com\/index.php\/iniciacion-al-arbitraje-estadistico\/\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-text\">Aprende Arbitraje Estad\u00edstico<\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-top-column elementor-element elementor-element-7c034562\" data-id=\"7c034562\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-element elementor-element-3a3843e3 elementor-align-center elementor-widget elementor-widget-button\" data-id=\"3a3843e3\" data-element_type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-sm\" href=\"https:\/\/ricovictor.com\/index.php\/multicointegracion\/\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-text\">Curso GRATIS Multicointegraci\u00f3n en FOREX<\/span>\n\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>El Test o Prueba de Dickey Fuller es una forma para determinar si existen ra\u00edces unitarias en las series de tiempo y por tanto comprobar la existencia de ESTACIONARIEDAD. En este tutorial vamos a explicar te\u00f3ricamente c\u00f3mo se crea la prueba,su sentido, y luego haremos un ejemplo pr\u00e1ctico usando las funciones de R. Adem\u00e1s pinchando &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2021\/06\/08\/prueba-de-raiz-unitaria-de-dickey-fuller-en-r\/\"> <span class=\"screen-reader-text\">Prueba de Raiz Unitaria de DICKEY FULLER en R<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":19,"featured_media":2556,"comment_status":"open","ping_status":"open","sticky":false,"template":"elementor_header_footer","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[2],"tags":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.6 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Prueba de Raiz Unitaria de DICKEY FULLER en R - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/ricovictor.com\/index.php\/2021\/06\/08\/prueba-de-raiz-unitaria-de-dickey-fuller-en-r\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Prueba de Raiz Unitaria de DICKEY FULLER en R - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas\" \/>\n<meta property=\"og:description\" content=\"El Test o Prueba de Dickey Fuller es una forma para determinar si existen ra\u00edces unitarias en las series de tiempo y por tanto comprobar la existencia de ESTACIONARIEDAD. En este tutorial vamos a explicar te\u00f3ricamente c\u00f3mo se crea la prueba,su sentido, y luego haremos un ejemplo pr\u00e1ctico usando las funciones de R. 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