Function to update the formula of CADFtest objects

Description

This function updates the formula and/or the other arguments of CADFtest object and re-run the test using the updated arguments. It can be useful if one wants to see the effect of adding/removing stationary covariates or the effect of changing lags, kernel, etc. If covariates have to be added/removed, update() works only if model is passed as a formula.

Usage

  ## S3 method for class 'CADFtest'
update(object, change, ...)

Arguments

Value

The function re-run the test and returns an object of class CADFtest. See CADFtest().

Author(s)

Claudio Lupi

Examples

  data(npext, package="urca")
  npext$unemrate <- exp(npext$unemploy)      # compute unemployment rate
  L <- ts(npext, start=1860)                 # time series of levels
  D <- diff(L)                               # time series of diffs
  S <- window(ts.intersect(L,D), start=1909) # select same sample as Hansen's
  CADFt <- CADFtest(L.gnpperca~D.unemrate, data=S, max.lag.y=3,
    kernel="Parzen", prewhite=FALSE)
  CADFt.2 <- update(CADFt, change=list("+ D.indprod", "max.lag.X=3", 
	"criterion='BIC'"))

Results

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.
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'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/update.CADFtest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: update.CADFtest
> ### Title: Function to update the formula of CADFtest objects
> ### Aliases: update.CADFtest
> 
> ### ** Examples
> 
>   data(npext, package="urca")
>   npext$unemrate <- exp(npext$unemploy)      # compute unemployment rate
>   L <- ts(npext, start=1860)                 # time series of levels
>   D <- diff(L)                               # time series of diffs
>   S <- window(ts.intersect(L,D), start=1909) # select same sample as Hansen's
>   CADFt <- CADFtest(L.gnpperca~D.unemrate, data=S, max.lag.y=3,
+     kernel="Parzen", prewhite=FALSE)
>   CADFt.2 <- update(CADFt, change=list("+ D.indprod", "max.lag.X=3", 
+ 	"criterion='BIC'"))
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>