[R] A question on p-value of Unit Root Tests using “urca” toolbox

[jpm miao]

A question on p-value of Unit Root Tests using “urca” toolbox



There’s a function “punitroot” on unit root probability value



punitroot(q, N = Inf, trend = c("c", "nc", "ct", "ctt"), statistic = c("t",
"n"), na.rm = FALSE)



To my knowledge, “c” means “const” or intercept, “nc” means no const or
intercept, and “ct” means time trend with an intercept. What does “ctt”
mean?



Isn’t punitroot a function of lag period? Why isn’t lag an input of the
function?



BTW, in the output of the unit root test, does “tau2” means t statistic?



Thank you for your attention!

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