ur.df2: Augmented-Dickey-Fuller Unit Root Test revised

In erer: Empirical Research in Economics with R

Augmented-Dickey-Fuller Unit Root Test revised

Description

Augmented-Dickey-Fuller Unit Root Test revised

Usage

ur.df2(y, type = c("none", "drift", "trend"), lags = 1, 
  selectlags = c("Fixed", "AIC", "BIC"), digit = 2)

Arguments

y	Vector to be tested for a unit root.
type	Test type, either "none", "drift" or "trend".
lags	Number of lags for endogenous variable to be included.
selectlags	Lag selection can be achieved according to the Akaike "AIC" or the Bayes "BIC" information criteria. The maximum number of lags considered is set by lags. The default is to use a "fixed" lag length set by lags.
digit	The digit choice.

Details

This is a modification of ur.df in the library of urca. The function was written in S4, and it is changed into S3. The lag selected by AIC or BIC is reported explicitly through lag.used in the output list. In addition, the values of AIC and BIC statistics are reported.

Value

Return an object of class ur.df2: the new outputs are lag.used, aic, and bic.

y	input of y
model	input of model
cval	critical values
lags	input of lags
lag.used	acutal lags used
teststat	test statistics
res	resiuals of the test regression
aic	aic values
bic	bic values
test.name	test name

Methods

Two methods are defined as follows:

print:

print test statistics and critical values.

plot:

plot outputs.

Author(s)

Changyou Sun ([e-mail])

See Also

ur.df in urca library.

Examples

# see the code for the study: Japan and China wood product imports

erer documentation built on Sept. 26, 2024, 5:06 p.m.