augmented dickey fuller Matlab

I need to employ Dickey-Fuller test in Matlab, but instead of this test in Matlab exist only augmented Dickey-Fuller test (adftest). There is the explanation in Matlab help https://www.mathworks.com/help/econ/adftest.html that we can "Conduct a Dickey-Fuller Test Without Augmentation" what is "Test a time series for a unit root using the default autoregression model without augmented difference terms." Does it mean that this case is Dickey-Fuller test (without augmentation) for which I am looking for?

Answer 1

[Hang Qian]

Hi Jan,

Yes, ADFTEST without augmentation is the standard Dickey-Fuller test, where

Y(t) = c + phi * Y(t-1) + noise,

H0: phi = 1

By augmentation, we mean lagged terms are added to the equation such that

Y(t) = c + phi * Y(t-1) + beta * (Y(t-1)-Y(t-2)) + noise

- Hang Qian

[Jan]

Thanks. But what is c? For example here

https://en.wikipedia.org/wiki/Dickey%25E2%2580%2593Fuller_test

is given equation only with noise and the first lagged term

Y(t) = phi * Y(t-1) + noise.

Answer 2

[Jan]

Thanks. But what is c? For example here

https://en.wikipedia.org/wiki/Dickey%25E2%2580%2593Fuller_test

is given equation only with noise and the first lagged term

Y(t) = phi * Y(t-1) + noise.