Showing posts with label Unit Root Test. Show all posts
Showing posts with label Unit Root Test. Show all posts

Friday, September 6, 2019

How to find Unit Root Test in statistics

 data(nporg)
> gnp <- na.omit(nporg[, "gnp.r"])
> sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
> summary(sp.gnp)

################################### 

# Schmidt-Phillips Unit Root Test # 

################################### 


Call:
lm(formula = sp.data)

Residuals:
    Min      1Q  Median      3Q     Max 
-54.683  -8.176   2.394  11.843  27.884 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept) -1.80008    4.18871  -0.430    0.669    
y.lagged     0.98538    0.03301  29.849   <2e-16 ***
trend.exp1   0.50203    0.32292   1.555    0.125    
---
Signif. codes:  
0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 15.75 on 58 degrees of freedom
Multiple R-squared:  0.9926, Adjusted R-squared:  0.9924 
F-statistic:  3896 on 2 and 58 DF,  p-value: < 2.2e-16


Value of test-statistic is: -1.3732 
Critical value for a significance level of 0.01 
is: -3.63