Question

In the ADF-Test adf.test from the tseries package the t-statistic for a first order autoregressive coefficient equals one is computed and can be accessed via statistic.

Is there any possibility of extracting the original coefficient that was used in the t-test?

If this is not possible how can I use a different implementation of the ADF-test to access this information there?

Answer 1

You can look at the code of the adf.test function: the coefficients are apparently not kept, but you can easily compute them yourself. There are many other implementations; you can check if they return more information:

library(sos)
???"Dickey-Fuller"