summary.CADFtest {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 rho^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.

Author(s)

Claudio Lupi

Examples

  data(npext, package="urca")
  ADFt <- CADFtest(npext$realgnp, type="trend")
  summary(ADFt)

[Package CADFtest version 0.3-0 Index]