{"id":2681,"date":"2021-06-29T10:40:08","date_gmt":"2021-06-29T10:40:08","guid":{"rendered":"https:\/\/ricovictor.com\/?p=2681"},"modified":"2026-01-29T21:47:01","modified_gmt":"2026-01-29T21:47:01","slug":"test-de-dickey-fuller-aumentado-en-r","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2021\/06\/29\/test-de-dickey-fuller-aumentado-en-r\/","title":{"rendered":"Test de Dickey Fuller Aumentado en R"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"2681\" class=\"elementor elementor-2681\">\n\t\t\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-3aea4b82 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"3aea4b82\" 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-1287e16e\" data-id=\"1287e16e\" 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-3d7c92b8 elementor-widget elementor-widget-text-editor\" data-id=\"3d7c92b8\" 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>En la prueba de <a href=\"https:\/\/ricovictor.com\/index.php\/2021\/06\/08\/prueba-de-raiz-unitaria-de-dickey-fuller-en-r\/\">Dickey-Fuller Est\u00e1ndar<\/a> describimos la prueba de Dickey-Fuller que determina si un proceso AR (1) tiene una ra\u00edz unitaria, es decir, si es estacionario. Pero en esa prueba s\u00f3lo tenemos en cuenta un lag o retardo.<\/p><p>\u00a0<strong>En el Test de Dickey Fuller Aumentado lo que haremos ser\u00e1 ampliar esta prueba a los procesos AR (p)<\/strong>,de manera que estudiaremos m\u00e1s lags en en el modelo. En el siguiente video lo explico y hago un peque\u00f1o ejemplo en 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-78724d2e elementor-view-stacked elementor-shape-circle elementor-widget elementor-widget-icon\" data-id=\"78724d2e\" 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=\"far fa-hand-point-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\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-44a76768 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"44a76768\" 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-16fcc646\" data-id=\"16fcc646\" 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-79bdb025 elementor-widget elementor-widget-video\" data-id=\"79bdb025\" data-element_type=\"widget\" data-settings=\"{&quot;youtube_url&quot;:&quot;https:\\\/\\\/youtu.be\\\/QeXNidThny4&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\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-c26b8a2 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"c26b8a2\" 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-fac5a42\" data-id=\"fac5a42\" 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-c5778bf elementor-widget elementor-widget-text-editor\" data-id=\"c5778bf\" 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>\u00a0<\/p><p><strong>C\u00d3DIGO EN R DEL VIDEO<\/strong><\/p><p>\u00a0<\/p><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><p>\u00a0<\/p><p>#### TEST DICKEY FULLER AUMENTADO<\/p><p>## Formas de elegir los lags<\/p><p># 1 Crear un modelo AR(p) y elegir el menor AIC como en el <br \/># video de ARIMA que hice<\/p><p># USar la formula por defecto<\/p><p>p_litecoin&lt;- na.omit(`LTC-USD`[,4])<\/p><p>ADF_x &lt;- adf.test(p_litecoin,k=2) #type 2 cont +tend<br \/>ADF_x<br \/>ADF_x$statistic<\/p><p><br \/>ADF_y &lt;- adf.test(p_litecoin,k=10) #type 2 cont +tend<br \/>ADF_y<\/p><p>ADF_y$statistic<\/p><p>ADF_z &lt;- adf.test(p_litecoin,k=20) #type 2 cont +tend<br \/>ADF_z$statistic<\/p><p>\u00a0<\/p><p>ADF_defecto &lt;- adf.test(p_litecoin)<br \/>ADF_defecto<\/p><p><br \/>?adf.test<\/p><p>k = trunc((length(x)-1)^(1\/3))<\/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\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>En la prueba de Dickey-Fuller Est\u00e1ndar describimos la prueba de Dickey-Fuller que determina si un proceso AR (1) tiene una ra\u00edz unitaria, es decir, si es estacionario. Pero en esa prueba s\u00f3lo tenemos en cuenta un lag o retardo. \u00a0En el Test de Dickey Fuller Aumentado lo que haremos ser\u00e1 ampliar esta prueba a los &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/ricovictor.com\/index.php\/2021\/06\/29\/test-de-dickey-fuller-aumentado-en-r\/\"> <span class=\"screen-reader-text\">Test de Dickey Fuller Aumentado en R<\/span> Leer m\u00e1s &raquo;<\/a><\/p>\n","protected":false},"author":19,"featured_media":2683,"comment_status":"open","ping_status":"open","sticky":false,"template":"","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>Test de Dickey Fuller Aumentado 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\/29\/test-de-dickey-fuller-aumentado-en-r\/\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Test de Dickey Fuller Aumentado en R - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas\" \/>\n<meta property=\"og:description\" content=\"En la prueba de Dickey-Fuller Est\u00e1ndar describimos la prueba de Dickey-Fuller que determina si un proceso AR (1) tiene una ra\u00edz unitaria, es decir, si es estacionario. Pero en esa prueba s\u00f3lo tenemos en cuenta un lag o retardo. \u00a0En el Test de Dickey Fuller Aumentado lo que haremos ser\u00e1 ampliar esta prueba a los &hellip; Test de Dickey Fuller Aumentado en R Leer m\u00e1s &raquo;\" \/>\n<meta property=\"og:url\" content=\"https:\/\/ricovictor.com\/index.php\/2021\/06\/29\/test-de-dickey-fuller-aumentado-en-r\/\" \/>\n<meta property=\"og:site_name\" content=\"V\u00edctor A. 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Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/ricovictor.com\/index.php\/2021\/06\/29\/test-de-dickey-fuller-aumentado-en-r\/","og_locale":"es_ES","og_type":"article","og_title":"Test de Dickey Fuller Aumentado en R - V\u00edctor A. Rico \u2014 Econometr\u00eda y Finanzas Cuantitativas","og_description":"En la prueba de Dickey-Fuller Est\u00e1ndar describimos la prueba de Dickey-Fuller que determina si un proceso AR (1) tiene una ra\u00edz unitaria, es decir, si es estacionario. Pero en esa prueba s\u00f3lo tenemos en cuenta un lag o retardo. \u00a0En el Test de Dickey Fuller Aumentado lo que haremos ser\u00e1 ampliar esta prueba a los &hellip; Test de Dickey Fuller Aumentado en R Leer m\u00e1s &raquo;","og_url":"https:\/\/ricovictor.com\/index.php\/2021\/06\/29\/test-de-dickey-fuller-aumentado-en-r\/","og_site_name":"V\u00edctor A. 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