update.CADFtest: Function to update the formula of CADFtest objects

In CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

Description

This function updates the formula and/or the other arguments of CADFtest object and re-run the test using the updated arguments. It can be useful if one wants to see the effect of adding/removing stationary covariates or the effect of changing lags, kernel, etc. If covariates have to be added/removed, update() works only if model is passed as a formula.

Usage

  ## S3 method for class 'CADFtest'
update(object, change, ...)

Arguments

object	an object belonging to the class CADFtest.
change	list of charater describing the changes to be applied to the existing model.
...	currently not used.

Value

The function re-run the test and returns an object of class CADFtest. See CADFtest().

Author(s)

Claudio Lupi

Examples

  data(npext, package="urca")
  npext$unemrate <- exp(npext$unemploy)      # compute unemployment rate
  L <- ts(npext, start=1860)                 # time series of levels
  D <- diff(L)                               # time series of diffs
  S <- window(ts.intersect(L,D), start=1909) # select same sample as Hansen's
  CADFt <- CADFtest(L.gnpperca~D.unemrate, data=S, max.lag.y=3,
    kernel="Parzen", prewhite=FALSE)
  CADFt.2 <- update(CADFt, change=list("+ D.indprod", "max.lag.X=3", 
	"criterion='BIC'"))

CADFtest documentation built on May 2, 2019, 1:27 p.m.