Matthieu Stigler a écrit : > Hi All, > > I'm new to R and am trying to run a unit root test on the vector "y" > (a time > series of inflation (i.e. changes in the Consumer Price Index quarter on > quarter)). > I've run the Augmented-Dickey-Fuller Test below (R's URCA package). It > gives > me an error that it cannot find the function ur.df unless I comment > out the > third last line of code (see below). > Note that thes ADf test is the best known and maybe most used unit root test, but sure not the most powerfull. Maddala and Kim (Unit root, cointegration a nd structural break) criticize it and recommend use of other tests, maybe the ERS aslo avalaible in urca > I try to call the function via the following: > > test <- ur.df(y, type = "none", lags = 1) > > Am I doing this correctly? > YES > > When I then type in > > test() > > it comes back with > > Error: could not find function "test" > > If you put parentheses, R thinks it is a function... just let test, or, equal, print(test) > When I type in > a <- summary(test) > > It comes back with >> / a > / Length Class Mode > 1 character character > this is strange... you should have the usual summary... I have on my machine library(urca) test2<-ur.df(nottem, type="none", lags=1) summary(test2)
############################################### # Augmented Dickey-Fuller Test Unit Root Test # ############################################### Test regression none Call: lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag) Residuals: Min 1Q Median 3Q Max -12.7479 -2.8589 0.5654 3.7597 12.7562 Coefficients: Estimate Std. Error t value Pr(>|t|) z.lag.1 -0.008473 0.006089 -1.392 0.165 z.diff.lag 0.461745 0.058185 7.936 8.41e-14 *** --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Residual standard error: 4.676 on 236 degrees of freedom Multiple R-squared: 0.213, Adjusted R-squared: 0.2063 F-statistic: 31.93 on 2 and 236 DF, p-value: 5.316e-13 Value of test-statistic is: -1.3915 Critical values for test statistics: 1pct 5pct 10pct tau1 -2.58 -1.95 -1.62 dont' you have it? What is this / a? > I just want it to provide summary stats of the unit root test (ADF or > PP) on > the vector y. > > Thank you for your help, > Leyla > ______________________________________________ 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.