Hello, I have a question on unit root test with urca toolbox. First, to run a unit root test with lags selected by BIC, I type:> CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags ="BIC") > summary(CPILD4UR)The results indicate that the optimal lags selected by BIC is 4. Then I run the same unit root test with drift and 4 lags:> CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1)Nevertheless, the results are different. Could anyone tells me why? In EViews these two are the same and the results are close to my first case. Thanks! A complete log:> CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1)############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.43555 -0.63440 -0.03048 0.53522 2.84237 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.238631 0.137262 1.739 0.084944 z.lag.1 -0.153030 0.061841 -2.475 0.014881 z.diff.lag1 0.011463 0.090330 0.127 0.899252 z.diff.lag2 0.008764 0.089850 0.098 0.922479 z.diff.lag3 0.149529 0.088930 1.681 0.095546 z.diff.lag4 -0.349870 0.088847 -3.938 0.000145 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 . z.diff.lag4 *** --- Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1 Residual standard error: 0.9526 on 109 degrees of freedom Multiple R-squared: 0.2514, Adjusted R-squared: 0.2171 F-statistic: 7.321 on 5 and 109 DF, p-value: 5.989e-06 Value of test-statistic is: -2.4746 3.0877 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81> CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags ="BIC") > summary(CPILD4UR)############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.2551 -0.6335 -0.0372 0.5189 2.8249 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.250966 0.141141 1.778 0.078392 z.lag.1 -0.141102 0.062614 -2.254 0.026388 z.diff.lag1 -0.006698 0.093897 -0.071 0.943274 z.diff.lag2 -0.014133 0.093575 -0.151 0.880251 z.diff.lag3 0.144329 0.091552 1.576 0.118042 z.diff.lag4 -0.355845 0.091441 -3.892 0.000179 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 z.diff.lag4 *** --- Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1 Residual standard error: 0.9462 on 101 degrees of freedom Multiple R-squared: 0.2521, Adjusted R-squared: 0.215 F-statistic: 6.808 on 5 and 101 DF, p-value: 1.647e-05 Value of test-statistic is: -2.2535 2.5438 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81
Pfaff, Bernhard Dr.
2012-Feb-03 08:40 UTC
[R] A question on Unit Root Test using "urca" toolbox
Hello Miao, short answer: different sample sizes are used in your tests. long answer: in your first instance, the common sample size is determined for the allowance of 12 lags such that one is not comparing test results derived from different sample sizes. And hence, in your second instance, a longer sample size has been used. Best, Bernhard -----Urspr?ngliche Nachricht----- Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im Auftrag von jpm miao Gesendet: Freitag, 3. Februar 2012 08:45 An: r-help at r-project.org Betreff: [R] A question on Unit Root Test using "urca" toolbox Hello, I have a question on unit root test with urca toolbox. First, to run a unit root test with lags selected by BIC, I type:> CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags > ="BIC") > summary(CPILD4UR)The results indicate that the optimal lags selected by BIC is 4. Then I run the same unit root test with drift and 4 lags:> CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1)Nevertheless, the results are different. Could anyone tells me why? In EViews these two are the same and the results are close to my first case. Thanks! A complete log:> CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1)############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.43555 -0.63440 -0.03048 0.53522 2.84237 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.238631 0.137262 1.739 0.084944 z.lag.1 -0.153030 0.061841 -2.475 0.014881 z.diff.lag1 0.011463 0.090330 0.127 0.899252 z.diff.lag2 0.008764 0.089850 0.098 0.922479 z.diff.lag3 0.149529 0.088930 1.681 0.095546 z.diff.lag4 -0.349870 0.088847 -3.938 0.000145 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 . z.diff.lag4 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.9526 on 109 degrees of freedom Multiple R-squared: 0.2514, Adjusted R-squared: 0.2171 F-statistic: 7.321 on 5 and 109 DF, p-value: 5.989e-06 Value of test-statistic is: -2.4746 3.0877 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81> CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags > ="BIC") > summary(CPILD4UR)############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.2551 -0.6335 -0.0372 0.5189 2.8249 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.250966 0.141141 1.778 0.078392 z.lag.1 -0.141102 0.062614 -2.254 0.026388 z.diff.lag1 -0.006698 0.093897 -0.071 0.943274 z.diff.lag2 -0.014133 0.093575 -0.151 0.880251 z.diff.lag3 0.144329 0.091552 1.576 0.118042 z.diff.lag4 -0.355845 0.091441 -3.892 0.000179 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 z.diff.lag4 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Residual standard error: 0.9462 on 101 degrees of freedom Multiple R-squared: 0.2521, Adjusted R-squared: 0.215 F-statistic: 6.808 on 5 and 101 DF, p-value: 1.647e-05 Value of test-statistic is: -2.2535 2.5438 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81 ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}}