Description Usage Arguments Value Author(s) Examples
View source: R/summary.CADFtest.R
This function conveniently prints the detailed results of the CovariateAugmented Dickey Fuller
test carried out in CADFtest
.
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object 
an object belonging to the class 
... 
currently not used. 
The function returns an object of class CADFtestsummary
containing the main
results of the test.
test.summary 
a matrix, containing the ttest statistic, the estimated value of ρ^2, the pvalue of the test, the max lag used for the differenced dependent variable, the max lag of the stationary covariate, the max lead of the stationary covariate. When a standard ADF test is performed, only the ttest statistic, the pvalue and the max lag of the differenced dependent variable are reported. 
model.summary 
the summary of the test model, in the usual form. However, note that the
pvalue of the lagged dependent is computed under the null of a unit root. Furthermore,
differently from the common practice, the Fstatistic refers to the joint significance of
the stationary regressors. If no stationary regressors are used (no lagged differences
of the dependent, no stationary covariates) then the Fstatistic is not computed and a

Claudio Lupi
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