Created
October 21, 2019 20:04
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This R function helps to interpret the output of the urca::ur.df function
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| ############################################################################################ | |
| # This R function helps to interpret the output of the urca::ur.df function. | |
| # The rules are based on https://stats.stackexchange.com/questions/24072/interpreting-rs-ur-df-dickey-fuller-unit-root-test-results | |
| # | |
| # urdf is the output of the urca::ur.df function | |
| # level is one of c("1pct", "5pct", "10pct") | |
| # | |
| # Author: Hank Roark | |
| # Date: October 2019 | |
| ############################################################################################ | |
| interp_urdf <- function(urdf, level="5pct") { | |
| if(class(urdf) != "ur.df") stop('parameter is not of class ur.df from urca package') | |
| if(!(level %in% c("1pct", "5pct", "10pct") ) ) stop('parameter level is not one of 1pct, 5pct, or 10pct') | |
| cat("========================================================================\n") | |
| cat( paste("At the", level, "level:\n") ) | |
| if(urdf@model == "none") { | |
| cat("The model is of type none\n") | |
| tau1_crit = urdf@cval["tau1",level] | |
| tau1_teststat = urdf@teststat["statistic","tau1"] | |
| tau1_teststat_wi_crit = tau1_teststat > tau1_crit | |
| if(tau1_teststat_wi_crit) { | |
| cat("tau1: The null hypothesis is not rejected, unit root is present\n") | |
| } else { | |
| cat("tau1: The null hypothesis is rejected, unit root is not present\n") | |
| } | |
| } else if(urdf@model == "drift") { | |
| cat("The model is of type drift\n") | |
| tau2_crit = urdf@cval["tau2",level] | |
| tau2_teststat = urdf@teststat["statistic","tau2"] | |
| tau2_teststat_wi_crit = tau2_teststat > tau2_crit | |
| phi1_crit = urdf@cval["phi1",level] | |
| phi1_teststat = urdf@teststat["statistic","phi1"] | |
| phi1_teststat_wi_crit = phi1_teststat < phi1_crit | |
| if(tau2_teststat_wi_crit) { | |
| # Unit root present branch | |
| cat("tau2: The first null hypothesis is not rejected, unit root is present\n") | |
| if(phi1_teststat_wi_crit) { | |
| cat("phi1: The second null hypothesis is not rejected, unit root is present\n") | |
| cat(" and there is no drift.\n") | |
| } else { | |
| cat("phi1: The second null hypothesis is rejected, unit root is present\n") | |
| cat(" and there is drift.\n") | |
| } | |
| } else { | |
| # Unit root not present branch | |
| cat("tau2: The first null hypothesis is rejected, unit root is not present\n") | |
| if(phi1_teststat_wi_crit) { | |
| cat("phi1: The second null hypothesis is not rejected, unit root is present\n") | |
| cat(" and there is no drift.\n") | |
| warning("This is inconsistent with the first null hypothesis.") | |
| } else { | |
| cat("phi1: The second null hypothesis is rejected, unit root is not present\n") | |
| cat(" and there is drift.\n") | |
| } | |
| } | |
| } else if(urdf@model == "trend") { | |
| cat("The model is of type trend\n") | |
| tau3_crit = urdf@cval["tau3",level] | |
| tau3_teststat = urdf@teststat["statistic","tau3"] | |
| tau3_teststat_wi_crit = tau3_teststat > tau3_crit | |
| phi2_crit = urdf@cval["phi2",level] | |
| phi2_teststat = urdf@teststat["statistic","phi2"] | |
| phi2_teststat_wi_crit = phi2_teststat < phi2_crit | |
| phi3_crit = urdf@cval["phi3",level] | |
| phi3_teststat = urdf@teststat["statistic","phi3"] | |
| phi3_teststat_wi_crit = phi3_teststat < phi3_crit | |
| if(tau3_teststat_wi_crit) { | |
| # First null hypothesis is not rejected, Unit root present branch | |
| cat("tau3: The first null hypothesis is not rejected, unit root is present\n") | |
| if(phi3_teststat_wi_crit) { | |
| # Second null hypothesis is not rejected | |
| cat("phi3: The second null hypothesis is not rejected, unit root is present\n") | |
| cat(" and there is no trend\n") | |
| if(phi2_teststat_wi_crit) { | |
| # Third null hypothesis is not rejected | |
| # a0-drift = gamma = a2-trend = 0 | |
| cat("phi2: The third null hypothesis is not rejected, unit root is present\n") | |
| cat(" there is no trend, and there is no drift\n") | |
| } else { | |
| # Third null hypothesis is rejected | |
| cat("phi2: The third null hypothesis is rejected, unit root is present\n") | |
| cat(" there is no trend, and there is drift\n") | |
| } | |
| } | |
| else { | |
| # Second null hypothesis is rejected | |
| cat("phi3: The second null hypothesis is rejected, unit root is present\n") | |
| cat(" and there is trend\n") | |
| if(phi2_teststat_wi_crit) { | |
| # Third null hypothesis is not rejected | |
| # a0-drift = gamma = a2-trend = 0 | |
| cat("phi2: The third null hypothesis is not rejected, unit root is present\n") | |
| cat(" there is no trend, and there is no drift\n") | |
| warning("This is inconsistent with the second null hypothesis.") | |
| } else { | |
| # Third null hypothesis is rejected | |
| cat("phi2: The third null hypothesis is rejected, unit root is present\n") | |
| cat(" there is trend, and there may or may not be drift\n") | |
| warning("Presence of drift is inconclusive.") | |
| } | |
| } | |
| } else { | |
| # First null hypothesis is rejected, Unit root not present branch | |
| cat("tau3: The first null hypothesis is rejected, unit root is not present\n") | |
| if(phi3_teststat_wi_crit) { | |
| cat("phi3: The second null hypothesis is not rejected, unit root is present\n") | |
| cat(" and there is no trend\n") | |
| warning("This is inconsistent with the first null hypothesis.") | |
| if(phi2_teststat_wi_crit) { | |
| # Third null hypothesis is not rejected | |
| # a0-drift = gamma = a2-trend = 0 | |
| cat("phi2: The third null hypothesis is not rejected, unit root is present\n") | |
| cat(" there is no trend, and there is no drift\n") | |
| warning("This is inconsistent with the first null hypothesis.") | |
| } else { | |
| # Third null hypothesis is rejected | |
| cat("phi2: The third null hypothesis is rejected, unit root is not present\n") | |
| cat(" there is no trend, and there is drift\n") | |
| } | |
| } else { | |
| cat("phi3: The second null hypothesis is rejected, unit root is not present\n") | |
| cat(" and there may or may not be trend\n") | |
| warning("Presence of trend is inconclusive.") | |
| if(phi2_teststat_wi_crit) { | |
| # Third null hypothesis is not rejected | |
| # a0-drift = gamma = a2-trend = 0 | |
| cat("phi2: The third null hypothesis is not rejected, unit root is present\n") | |
| cat(" there is no trend, and there is no drift\n") | |
| warning("This is inconsistent with the first and second null hypothesis.") | |
| } else { | |
| # Third null hypothesis is rejected | |
| cat("phi2: The third null hypothesis is rejected, unit root is not present\n") | |
| cat(" there may or may not be trend, and there may or may not be drift\n") | |
| warning("Presence of trend and drift is inconclusive.") | |
| } | |
| } | |
| } | |
| } else warning('urdf model type is not one of none, drift, or trend') | |
| cat("========================================================================\n") | |
| } |
Graciaaaaaas por compartir este trabajoooo
Thank you men, I give you all the credits
Thank you so much for this!
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How can I test this model? Where do I input my series?