Hello Bernhard:
Thank you for your kindly help. Actually, I have tried to read the
source code, but I can not understand it clearly. But with your
recommendation, I do think you are right.
I guess, when I use the criterion of "BIC" in CADFtest, I set the
max.lag.y=14. It seems to reduce the sample size. Although "BIC"
choose the optimal augmented lag=1, but it seems not to use the whole
sample to re-calculate the ADF-statistics.
If it is true, I think after choosing the optimal augmentd part with
"BIC", I should run the CADFtest again to avoid the misunderstanding.
Thank you again.
Best,
Paul
引述 "Pfaff, Bernhard Dr." <bernhard_pf...@fra.invesco.com>:
Hello Paul,
just a guess: different sample sizes! In your first call, the sample
is shorter than in your second. Hence, you can test this, if you
curtail your data set in your second call and then you should obtain
the same result, i.e.:
library(vars)
data(Canada)
test <- summary(CADFtest(Canada[-c(1:13), 1], max.lag.y = 1))
test
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) 24.471789 17.521147 1.397 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
Though, I am not the package maintainer who could provide you with
more insights, but the source code itself.
Best,
Bernhard
-----Ursprüngliche Nachricht-----
Von: r-help-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 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
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
*****************************************************************
Confidentiality Note: The information contained in this message,
and any attachments, may contain confidential and/or privileged
material. It is intended solely for the person(s) or entity to
which it is addressed. Any review, retransmission, dissemination,
or taking of any action in reliance upon this information by
persons or entities other than the intended recipient(s) is
prohibited. If you received this in error, please contact the
sender and delete the material from any computer.
*****************************************************************
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
