Question

5.4 Plot the GNP series, gnp, and then test for a unit root against the alternative...

5.4 Plot the GNP series, gnp, and then test for a unit root against the alternative that the process is explosive. State your conclusion.

Hint: [in R]

library(astsa)

library(tseries)

head(gnp)

print(gnp)

Math   Statistics-And-Probability   
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Answer #1

install.packages("astsa")
install.packages("tseries")
library(astsa)

library(tseries)

head(gnp)

plot(gnp)

adf.test(gnp, alternative = "explosive",
         k = trunc((length(gnp)-1)^(1/3)))

since p-value = 0.01 < alpah (0.05)

we reject the null hypothesis

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