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2008 Feb 26
2
Obtaining values from adfstat objects
...st
--------- ------ - ------ ----
Null hypothesis: Unit root.
Alternative hypothesis: Stationarity.
----
ADF statistic:
Estimate Std. Error t value Pr(>|t|)
adf.reg -0.997 0.123 -8.074 0.01
Lag orders:
Number of available observations: 67
Warning message:
In interpolpval(code = code, stat = adfreg[, 3], N = N) :
p-value is smaller than printed p-value
Thanks.
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2009 Mar 24
0
Unit root
...er test
--------- ------ - ------ ----
Null hypothesis: Unit root.
Alternative hypothesis: Stationarity.
ADF statistic:
Estimate Std. Error t value Pr(>|t|)
adf.reg -0.326 0.015 -21.881 0.01
Lag orders: 30
Number of available observations: 2594
Warning message:
In interpolpval(code = code, stat = adfreg[, 3], N = N) : p-value is smaller than printed p-value
The results are dramatically different. Even more interesting is when I include the option for the program to select the number of lags:
ADF.test(Plevel, itsd=c(1,1,c(0)),regvar=0, selectlags=list(mode='sign...