Re: [R] How are the coefficients for the ur.ers, type DF-GLS calculated?

: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im Auftrag von ackbar03 Gesendet: Mittwoch, 29. Februar 2012 17:20 An: r-help@r-project.org Betreff: [R] How are the coefficients for the ur.ers, type DF-GLS calculated? I need some real help on this, really stuck how are the c

Re: [R] How are the coefficients for the ur.ers, type DF-GLS calculated?

Simply type ur.ers on a line by itself to see how the calculation is implemented. Michael On Wed, Feb 29, 2012 at 11:20 AM, ackbar03 wrote: > I need some real help on this, really stuck > > how are the coefficients for > ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"), >  

[R] How are the coefficients for the ur.ers, type DF-GLS calculated?

I need some real help on this, really stuck how are the coefficients for ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"), lag.max = 0) The max lag is set at zero, so the regression should simply be Diff(zt) = a*z(t-1) where a is the value i'm trying to find and z(t