Displaying 7 results from an estimated 7 matches for "1pct".
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2012 Feb 03
1
A question on Unit Root Test using "urca" toolbox
...? 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 #
###############...
2012 Aug 21
1
Trace values in the function ca.jo()
...my data set using
the Johnasen's trace test.
This trace test is already programmed in the package ur.ca and can be found
in the function
ca.jo().
After I run the ca.jo() function on my data set I get the following output:
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r<=10 9.71 7.52 9.24 12.97
r<=9 24.18 17.85 19.96 24.6
r<=8 45.16 32 34.91 41.07
r<=7 74.12 49.65 53.12 60.16
r<=6 113.96 71.86 76.07 84.45
r<=5 158.58 97.18 102.14 111.01
r<=4 207.95 126.58 131.7 143.09
r<=3 278.29 159.48 165.58 177.2
r<=2 361.34 196.37 202.92 215.74
r&l...
2011 Sep 13
3
ggplot - class "character" problem
...a of class character
It feels like I need to coerce one of the fields in my data frame.
Here's the code, which is short:
#draw data in from network location
setwd("S:\\790\\Actuarial\\KFC\\609 Kernel\\Sensitivity
Tests\\Stressed ESG inputs")
input<-read.csv("yieldcurve plus 1pct abs.csv",header=FALSE)
#label columns
colnames(input)<-c("scenID","yrs_ahead",0.5,1.0,2.0,3.0,4.0,5.0,6.0,7.0,8.0,9.0,10.0,11.0,12.0)
#create a data frame that i hope! will work with ggplot..
flat_data<-data.frame(cbind(input[1:2],stack(input[3:15])))
colnames(flat_...
2008 Apr 04
1
Problems with Unit Root testing using ur.df function
...( 8.27, 6.25, 5.34))
cvals <- rbind(
cval.tau3[rowselec, ],
cval.phi2[rowselec, ],
cval.phi3[rowselec, ])
testnames <- c('tau3', 'phi2', 'phi3')
}
colnames(cvals) <- c("1pct", "5pct", "10pct")
rownames(cvals) <- testnames
#new("ur.df", y=y, model=type, cval=cvals, lags=lag, teststat=teststat,
testreg=testreg, res=res, test.name="Augmented Dickey-FullerTest")
}
test <- ur.df(y, type = "none", lags = 1)
2010 Feb 17
0
adf.test help
...ionary.
Then I can conclude that x is mean-reverting. Am I correct?
2/ I would like to see critical values also, so I tried with ur.df
> summary(ur.df(x, "trend", lag=0))
<snip>
Value of test-statistic is: -31.8629 338.4156 507.6231
Critical values for test statistics:
1pct 5pct 10pct
tau3 -3.96 -3.41 -3.12
phi2 6.09 4.68 4.03
phi3 8.27 6.25 5.34
Here if I understand correctly, as my first critical value is
significantly less than the 1% critical value I reject the null
hypothesis that x has a unit root, so x is stationary and then mean
reverting.
Thanks,
-A...
2011 Aug 22
0
Did I find a bug on TSERIES or URCA packages?
...tandard error: 1.73 on 749 degrees of freedom
Multiple R-squared: 0.9503, Adjusted R-squared: 0.9502
F-statistic: 1.431e+04 on 1 and 749 DF, p-value: < 2.2e-16
Value of test-statistic is: 12.9648
Critical values of Pu are:
10pct 5pct 1pct
critical values 20.3933 25.9711 38.3413
The result with TSERIES are:
> po.test(prices, demean=FALSE)
Phillips-Ouliaris Cointegration Test
data: prices
Phillips-Ouliaris standard = -25.6421, Truncation lag parameter = 7,
p-value = 0.01
Warning mes...
2009 Jun 05
1
ADF test
...NA
tt 3.459 NA NA NA
Residual standard error: NaN on 0 degrees of freedom
Multiple R-squared: 1, Adjusted R-squared: NaN
F-statistic: NaN on 2 and 0 DF, p-value: NA
Value of test-statistic is: NaN NaN NaN
Critical values for test statistics:
1pct 5pct 10pct
tau3 -4.38 -3.60 -3.24
phi2 8.21 5.68 4.67
phi3 10.61 7.24 5.91
"
Can anyone tell me what is wrong with the codes???The code used is given
below.
Thanx
t=1:length(x)
plot(t,x)
trend = lm(x~t)
abline(lm(x~t))
summary(trend)
library(urca)
x = ts(x, start=1, end = length(x), f...