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cpild4ur
2012 Feb 03
1
A question on Unit Root Test using "urca" toolbox
...ith 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$CP...