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dft1
2011 Nov 14
3
What is the CADF test criterion="BIC" report?
...2632 6.650 7.18e-09 ***
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Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.3533 on 65 degrees of freedom
Multiple R-squared: 0.413, Adjusted R-squared: 0.3859
F-statistic: NA on NA and NA DF, p-value: NA
> ADFt1 <- CADFtest(Canada[,1], max.lag.y =1)
> summary(ADFt1)
Augmented DF test
ADF test
t-test statistic: -2.7285715
p-value: 0.2282588
Max lag of the diff. dependent variable: 1.0000000
C...