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
...@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
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
-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
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,
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