Displaying 5 results from an estimated 5 matches for "selectlag".
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selectlags
2012 Feb 03
1
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 re...
2009 Mar 24
0
Unit root
...ionary
Warning message:
In adf.test(P, k = 30) : p-value smaller than printed p-value
But adf.test includes a time trend that I wan to omit, which I do not know if it is possible. Thus I have to run ADF .test from uroot package and obtain the following:
ADF.test(Plevel, itsd=c(1,1,c(0)),regvar=0, selectlags=list(Pmax=30))
--------- ------ - ------ ----
Augmented Dickey & Fuller 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...
2010 Aug 23
1
Dickey–Fuller test in R
Hi,
While doing the adf test using ur.df
?price.df2=ur.df(y=log(price),type = "drift", selectlags="AIC")
summary(price.df2)?
It gives two values for ?value of test statistic is: -1.5992?? 2.32?
one value is the t-test (or t-ratio), what is the other one?
Please help.
TIA
Aditya
2007 Feb 13
0
adf test: trend, no drift - rep: invalid 'times' argument
...regressor estimate of the drift term is not significantly different from zero. So I apply the test to a model without drift term, with deterministic trend only. But then I always get the following error:
summary(ADF.test(wts=ts(seasons$summer, start=1850, frequency=1), itsd=c(0,1,c(0)), regvar=0, selectlags=list(mode=c(1,2,3))))
Error in rep(NA, ncol(table)) : invalid 'times' argument
Error in summary(ADF.test(wts = ts(seasons$summer, start = 1850, frequency = 1), :
error in evaluating the argument 'object' in selecting a method for function 'summary'
I have no idea why th...
2009 May 15
1
Dickey-Fuller Tests with no constant and no trend
R has a Dickey-Fuller Test implementation (adf.test) that tests for unit
roots in an autoregressive process with a constant and linear trend. Is
there a DF implementation that doesn't use the constant or trend?
Thanks,
Jake.
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