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
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