Hello:
I am a rookie in using R. When I used the unit root test in
"CADFtest", I got the different t-test statistics between using
criterion="BIC" and no using criterion. But when I checked the result
with eviews, I find out that no using criterion is correct. Why after
using criterion="BIC", I got the different result?
Paul
data(Canada)
ADFt <- CADFtest(Canada[,1], max.lag.y = 14, criterion="BIC")
summary(ADFt)
Augmented DF test
ADF test
t-test statistic: -1.389086
p-value: 0.855681
Max lag of the diff. dependent variable: 1.000000
Call:
dynlm(formula = formula(model), start = obs.1, end = obs.T)
Residuals:
Min 1Q Median 3Q Max
-0.79726 -0.20587 -0.03332 0.23840 0.70460
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 24.342321 17.435476 1.396 0.167
trnd 0.009959 0.006941 1.435 0.156
L(y, 1) -0.026068 0.018767 -1.389 0.856
L(d(y), 1) 0.615983 0.092632 6.650 7.18e-09 ***
---
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
Call:
dynlm(formula = formula(model), start = obs.1, end = obs.T)
Residuals:
Min 1Q Median 3Q Max
-0.84769 -0.24745 -0.02081 0.24187 0.82344
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 47.661910 17.439021 2.733 0.00776 **
trnd 0.019217 0.007005 2.743 0.00754 **
L(y, 1) -0.051256 0.018785 -2.729 0.22826
L(d(y), 1) 0.753011 0.075724 9.944 1.61e-15 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.3937 on 78 degrees of freedom
Multiple R-squared: 0.5674, Adjusted R-squared: 0.5508
F-statistic: NA on NA and NA DF, p-value: NA
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