I am really confused how this package works. This is for the ADF.
According to what I have read elsewhere all the p values calculated in the out put are not to test the main hypothesis of the ADF. Instead you have to compare the critical values generated. "If the calculated test statistic is less (more negative) than the critical value, then the null hypothesis of non-stationary is rejected and no unit root is present."
There are three hypothesis the one I care about is non-stationarity
The problem is that the output lists three critical values
Value of test-statistic is: -2.2389 3.7382 2.5972
I have no idea which you use. Unless the first one is for tau3, the next for phi3 and the last for phi2
Code:
library(urca)
data(Raotbl3)
attach(Raotbl3)
lc.df <- ur.df(y=lc, lags=3, type='trend')
summary(lc.df)
There are three hypothesis the one I care about is non-stationarity
- tau3 refers to the null hypothesis that there is a unit root.
- phi3 refers to the null hypothesis that there is a unit root AND no-trend (without trend)
- phi2 refers to the null hypothesis that there is a unit root without trend and without drift
The problem is that the output lists three critical values
Value of test-statistic is: -2.2389 3.7382 2.5972
I have no idea which you use. Unless the first one is for tau3, the next for phi3 and the last for phi2