Re: [R] What is the CADF test criterion=BIC report?

2011-11-15 Thread Claudio Lupi
Hi Paul, You are right. Model selection takes places using the common data sample across ALL checked models (otherwise you would end up comparing models estimated on different data!). What the procedure returns are the results based on the common sample. If you want to have the full-sample

Re: [R] What is the CADF test criterion=BIC report?

2011-11-14 Thread Pfaff, Bernhard Dr.
...@ntu.edu.tw Gesendet: Montag, 14. November 2011 04:35 An: r-help@r-project.org Betreff: [R] What is the CADF test criterion=BIC report? 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

Re: [R] What is the CADF test criterion=BIC report?

2011-11-14 Thread Claudio Lupi
In order for the information criteria to be able to select the model, all the models have to be estimated on the same sample. Therefore, all the models are estimated and compared using the same sample used for the model containing the largest number of lags. You can find this and other details in

Re: [R] What is the CADF test criterion=BIC report?

2011-11-14 Thread p99323005
-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im Auftrag von p99323...@ntu.edu.tw Gesendet: Montag, 14. November 2011 04:35 An: r-help@r-project.org Betreff: [R] What is the CADF test criterion=BIC report? Hello: I am a rookie in using R. When I used the unit root test

[R] What is the CADF test criterion=BIC report?

2011-11-13 Thread p99323005
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,