Description Usage Arguments Value Author(s) Examples
View source: R/summary.CADFtest.R
This function conveniently prints the detailed results of the Covariate-Augmented 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 t-test statistic, the estimated value of ρ^2, the p-value 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 t-test statistic, the p-value 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
p-value of the lagged dependent is computed under the null of a unit root. Furthermore,
differently from the common practice, the F-statistic 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 F-statistic is not computed and a
|
Claudio Lupi
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