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 ρ^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 0.3-3 Index]