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sign
2009 Mar 24
0
Unit root
...olpval(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='signf', Pmax=NULL))
--------- ------ - ------ ----
Augmented Dickey & Fuller test
--------- ------ - ------ ----
Null hypothesis: Unit root.
Alternative hypothesis: Stationarity.
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ADF statistic:
Estimate Std. Error t value Pr(>|t|)
adf.reg -0.079 0.017 -4.727...