R: Function to print a summary of CADFtest objects
summary.CADFtest
R Documentation
Function to print a summary of CADFtest objects
Description
This function conveniently prints the detailed results of the Covariate-Augmented Dickey Fuller
test carried out in CADFtest.
Usage
## S3 method for class 'CADFtest'
summary(object, ...)
Arguments
object
an object belonging to the class CADFtest.
...
currently not used.
Value
The function returns an object of class CADFtestsummary containing the main
results of the test.
test.summary
a matrix, containing the t-test statistic, the estimated value of ρ^2,
the p-value of the test, the max lag used for the differenced dependent variable,
the max lag of the stationary covariate, the max lead of the stationary covariate.
When a standard ADF test is performed, only the t-test statistic, the p-value and
the max lag of the differenced dependent variable are reported.
model.summary
the summary of the test model, in the usual form. However, note that the
p-value of the lagged dependent is computed under the null of a unit root. Furthermore,
differently from the common practice, the F-statistic refers to the joint significance of
the stationary regressors. If no stationary regressors are used (no lagged differences
of the dependent, no stationary covariates) then the F-statistic is not computed and a
NA value is returned.
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(CADFtest)
Loading required package: dynlm
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: sandwich
Loading required package: tseries
Loading required package: urca
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/CADFtest/summary.CADFtest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: summary.CADFtest
> ### Title: Function to print a summary of CADFtest objects
> ### Aliases: summary.CADFtest
>
> ### ** Examples
>
> data(npext, package="urca")
> ADFt <- CADFtest(npext$realgnp, type="trend")
> summary(ADFt)
Augmented DF test
ADF test
t-test statistic: -3.45452129
p-value: 0.05169117
Max lag of the diff. dependent variable: 1.00000000
Call:
dynlm(formula = formula(model), start = obs.1, end = obs.T)
Residuals:
Min 1Q Median 3Q Max
-0.171453 -0.024186 0.004578 0.027392 0.147246
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.535033 0.153916 3.476 0.000855 ***
trnd 0.005669 0.001631 3.476 0.000856 ***
L(y, 1) -0.176315 0.051039 -3.455 0.051691 .
L(d(y), 1) 0.411064 0.104363 3.939 0.000184 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05193 on 74 degrees of freedom
Multiple R-squared: 0.2362, Adjusted R-squared: 0.2053
F-statistic: NA on NA and NA DF, p-value: NA
>
>
>
>
>
> dev.off()
null device
1
>
providing 
.