library(TSA) library(uroot) set.seed(13511) #simulate Y_t-Y_{t-1}=AR(1) phi=.5 x=arima.sim(model=list(ar=phi),n=100) y=cumsum(x) plot(y,type='l') acf(y) plot(diff(y),type='l') acf(diff(y)) plot(diff(y,diff=2),type='l') ar(diff(y)) ADF.test(ts(y),selectlags=list(mode=c(1),Pmax=1),itsd=c(0,0,0)) data(rwalk) plot(rwalk) ar(diff(rwalk)) ADF.test(rwalk,selectlags=list(mode=c(1,2,3,4,5,6,7,8),Pmax=8),itsd=c(1,0,0))