update.CADFtest {CADFtest} | R Documentation |
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.
## S3 method for class 'CADFtest': update(object, change, ...)
object |
an object belonging to the class CADFtest . |
change |
list of charater describing the changes to be applied to the existing model. |
... |
currently not used. |
The function re-run the test and returns an object of class CADFtest
. See CADFtest()
.
Claudio Lupi
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'"))