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Topic Title: Augmented Dickey-Fuller in R
Created On Tue Oct 26, 10 05:53 PM
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JTB
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Posts: 216
Joined: Aug 2010

Tue Oct 26, 10 05:53 PM
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I am running the adf.test in R, but the number of lags have influence on the results.

In this context I am trying to run the adf.test x times to find the number of lags that minimise tha AIC- or SBIC-criteria.

So: how can I store the standard error og R^2 value from the adf.test in R

e.g adf.test$standard.error dont work?

My question is: what is the command/code for getting the standard error from the statistics from the adf.test in tseries-package
 
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JTB
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Posts: 216
Joined: Aug 2010

Wed Oct 27, 10 09:29 AM
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Is it the same critical values in the Augmented Dickey-Fuller test as it is in the Phillips-Peron test?
 
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