Hello, I have a question on unit root test with urca toolbox.
First, to run a unit root test with lags selected by BIC, I type: > CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags ="BIC") > summary(CPILD4UR) The results indicate that the optimal lags selected by BIC is 4. Then I run the same unit root test with drift and 4 lags: > CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1) Nevertheless, the results are different. Could anyone tells me why? In EViews these two are the same and the results are close to my first case. Thanks! A complete log: > CPILD4UR1<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags =4) > summary(CPILD4UR1) ############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.43555 -0.63440 -0.03048 0.53522 2.84237 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.238631 0.137262 1.739 0.084944 z.lag.1 -0.153030 0.061841 -2.475 0.014881 z.diff.lag1 0.011463 0.090330 0.127 0.899252 z.diff.lag2 0.008764 0.089850 0.098 0.922479 z.diff.lag3 0.149529 0.088930 1.681 0.095546 z.diff.lag4 -0.349870 0.088847 -3.938 0.000145 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 . z.diff.lag4 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 0.9526 on 109 degrees of freedom Multiple R-squared: 0.2514, Adjusted R-squared: 0.2171 F-statistic: 7.321 on 5 and 109 DF, p-value: 5.989e-06 Value of test-statistic is: -2.4746 3.0877 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81 > CPILD4UR<-ur.df(x1$CPILD4[5:nr1], type ="drift", lags=12, selectlags ="BIC") > summary(CPILD4UR) ############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression drift Call: lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -2.2551 -0.6335 -0.0372 0.5189 2.8249 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.250966 0.141141 1.778 0.078392 z.lag.1 -0.141102 0.062614 -2.254 0.026388 z.diff.lag1 -0.006698 0.093897 -0.071 0.943274 z.diff.lag2 -0.014133 0.093575 -0.151 0.880251 z.diff.lag3 0.144329 0.091552 1.576 0.118042 z.diff.lag4 -0.355845 0.091441 -3.892 0.000179 (Intercept) . z.lag.1 * z.diff.lag1 z.diff.lag2 z.diff.lag3 z.diff.lag4 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 0.9462 on 101 degrees of freedom Multiple R-squared: 0.2521, Adjusted R-squared: 0.215 F-statistic: 6.808 on 5 and 101 DF, p-value: 1.647e-05 Value of test-statistic is: -2.2535 2.5438 Critical values for test statistics: 1pct 5pct 10pct tau2 -3.46 -2.88 -2.57 phi1 6.52 4.63 3.81 ______________________________________________ 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.