Nothing
summary.CADFtest <- function(object, ...)
{
# object is an object of class CADFtest
rnames <-
c("t-test statistic: ",
"estimated rho^2: ",
"p-value: ",
"Max lag of the diff. dependent variable: ",
"Max lag of the stationary covariate(s): ",
"Max lead of the stationary covariate(s): ")
cnames <- "CADF test"
if (is.null(object$parameter))
{
rnames <- rnames[c(1,3:4)]
cnames <- "ADF test"
}
test.summary <- matrix(NA,(6-3*as.numeric(is.null(object$parameter))), 1,
dimnames=list(rnames,cnames))
test.summary[1] <- object$statistic
test.summary[3-as.numeric(is.null(object$parameter))] <- object$p.value
test.summary[4-as.numeric(is.null(object$parameter))] <- object$max.lag.y
if (!is.null(object$parameter))
{
test.summary[2] <- object$parameter
test.summary[5] <- object$max.lag.X
test.summary[6] <- object$min.lag.X
}
model.summary <- summary.lm(object$est.model)
pos.lag.dep <- which(rownames(model.summary$coefficients)=="L(y, 1)")
model.summary$coefficients[pos.lag.dep, 4] <- object$p.value
F <- NA
df.num <- NA
df.den <- NA
k1 <- 0; k0 <- 0
k <- dim(object$est.model$model)[2]-1
T <- dim(object$est.model$model)[1]
if ((object$type == "trend") & (k > 3))
{
reduced.model <- lm(object$est.model$model[,1] ~ object$est.model$model[,2] + object$est.model$model[,3])
k1 <- k + 1; k0 <- 3
}
if ((object$type=="drift") & (k > 2))
{
reduced.model <- lm(object$est.model$model[,1] ~ object$est.model$model[,2])
k1 <- k + 1; k0 <- 2
}
if ((object$type=="none") & (k > 2))
{
reduced.model <- lm(object$est.model$model[,1] ~ -1 + object$est.model$model[,2])
k1 <- k; k0 <- 1
}
if (k1 > k0)
{
s.reduced <- summary(reduced.model)
RSS1 <- sum(model.summary$residuals^2)
RSS0 <- sum(s.reduced$residuals^2)
df.num <- k1 - k0
df.den <- T - k1
F = ((RSS0 - RSS1)/df.num) / (RSS1/df.den)
}
model.summary$fstatistic[1:3] <- c(F, df.num, df.den)
CADFtestsummary <- list(test.summary=test.summary,
model.summary=model.summary)
class(CADFtestsummary) <- c("CADFtestsummary", "summary.dynlm", "summary.lm")
return(CADFtestsummary)
}
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