Unitroot assignment
Ali Imran
2026-02-24
library(urca)
data("Raotbl3")
li<-Raotbl3$li
lw<-Raotbl3$lw
plot(li,type="l",lwd=3)
plot(lw,type="l",lwd=3)
lit<-ts(li,start=c(1966), frequency=4)
lit
## Qtr1 Qtr2 Qtr3 Qtr4
## 1966 10.5821 10.5800 10.5990 10.6262
## 1967 10.6145 10.6307 10.6316 10.6132
## 1968 10.6141 10.6263 10.6366 10.6313
## 1969 10.6324 10.6361 10.6795 10.6813
## 1970 10.6801 10.6533 10.6839 10.6889
## 1971 10.7025 10.7212 10.7818 10.7641
## 1972 10.7841 10.8045 10.8230 10.8319
## 1973 10.8380 10.8097 10.7928 10.8310
## 1974 10.8328 10.8527 10.8089 10.8202
## 1975 10.8069 10.8196 10.8046 10.8372
## 1976 10.8123 10.7842 10.7713 10.7904
## 1977 10.8369 10.8333 10.8635 10.8884
## 1978 10.8924 10.9017 10.9108 10.9166
## 1979 10.9673 10.9324 10.9344 10.9506
## 1980 10.9465 10.9488 10.9294 10.9248
## 1981 10.9326 10.9202 10.9373 10.9269
## 1982 10.9315 10.9399 10.9599 10.9563
## 1983 10.9637 10.9703 10.9778 10.9801
## 1984 10.9942 10.9840 11.0120 11.0120
## 1985 11.0237 11.0300 11.0624 11.0556
## 1986 11.0644 11.0618 11.0839 11.0944
## 1987 11.1095 11.1116 11.1413 11.1507
## 1988 11.1680 11.1713 11.2032 11.2009
## 1989 11.2064 11.2160 11.2147 11.2286
## 1990 11.2352 11.2189 11.2276
lwt<-ts(lw,start=c(1966), frequency=4)
lwt
## Qtr1 Qtr2 Qtr3 Qtr4
## 1966 12.9481 12.9895 13.0115 13.0411
## 1967 13.0357 13.0518 13.0839 13.1120
## 1968 13.1183 13.1144 13.1009 13.0882
## 1969 13.0402 13.0391 13.0417 13.0261
## 1970 13.0032 13.0364 13.0461 13.0850
## 1971 13.1107 13.1241 13.1605 13.1748
## 1972 13.1612 13.1050 13.1082 13.1059
## 1973 13.0140 12.9301 12.8427 12.7710
## 1974 12.7281 12.7692 12.7492 12.7664
## 1975 12.7554 12.7605 12.7471 12.7238
## 1976 12.7156 12.7555 12.7517 12.8018
## 1977 12.8388 12.8438 12.8540 12.8618
## 1978 12.8491 12.9232 12.9022 12.8737
## 1979 12.8467 12.8647 12.8885 12.9183
## 1980 12.9277 12.9505 12.9615 12.9147
## 1981 12.9527 12.9641 12.9780 13.0299
## 1982 13.0604 13.1031 13.1577 13.1504
## 1983 13.1805 13.2245 13.1852 13.2298
## 1984 13.2849 13.2999 13.2904 13.3140
## 1985 13.3606 13.4574 13.4655 13.4371
## 1986 13.5020 13.5914 13.6804 13.7131
## 1987 13.5633 13.5814 13.6171 13.6201
## 1988 13.6460 13.6731 13.6884 13.7211
## 1989 13.7686 13.6833 13.7130 13.6225
## 1990 13.6957 13.7723 13.7424
[Link](lit, lwd=3)
[Link](lwt, lwd=3)
library(urca)
## ADF-test
??[Link]
## starting httpd help server ... done
dftestli<-[Link](lit,type="drift", selectlags="AIC")
summary(dftestli)
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = [Link] ~ [Link].1 + 1 + [Link])
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.048016 -0.008572 0.000787 0.008549 0.055944
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.025583 0.113089 0.226 0.8215
## [Link].1 -0.001622 0.010387 -0.156 0.8762
## [Link] -0.189110 0.101435 -1.864 0.0654 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01802 on 94 degrees of freedom
## Multiple R-squared: 0.03656, Adjusted R-squared: 0.01607
## F-statistic: 1.784 on 2 and 94 DF, p-value: 0.1736
##
##
## Value of test-statistic is: -0.1562 8.3001
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.51 -2.89 -2.58
## phi1 6.70 4.71 3.86
lid<-diff(lit)
plot(lid, lwd=3)
dftestlw<-[Link](lwt,type="drift", selectlags="AIC")
summary(dftestlw)
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = [Link] ~ [Link].1 + 1 + [Link])
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.164350 -0.019130 0.002451 0.025201 0.081875
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.045792 0.190919 -0.240 0.8110
## [Link].1 0.003958 0.014549 0.272 0.7862
## [Link] 0.185606 0.103953 1.785 0.0774 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.04204 on 94 degrees of freedom
## Multiple R-squared: 0.03754, Adjusted R-squared: 0.01706
## F-statistic: 1.833 on 2 and 94 DF, p-value: 0.1656
##
##
## Value of test-statistic is: 0.272 1.0282
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.51 -2.89 -2.58
## phi1 6.70 4.71 3.86
lwd<-diff(lwt)
plot(lwd, lwd=3)
dftestli2<-[Link](lit,type="trend", selectlags="AIC")
summary(dftestli2)
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = [Link] ~ [Link].1 + 1 + tt + [Link])
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.042055 -0.009855 0.000914 0.010164 0.056374
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.1109930 0.5475952 2.029 0.0453 *
## [Link].1 -0.1043458 0.0517625 -2.016 0.0467 *
## tt 0.0006596 0.0003258 2.024 0.0458 *
## [Link] -0.1371550 0.1030505 -1.331 0.1865
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01773 on 93 degrees of freedom
## Multiple R-squared: 0.07723, Adjusted R-squared: 0.04746
## F-statistic: 2.594 on 3 and 93 DF, p-value: 0.05719
##
##
## Value of test-statistic is: -2.0159 7.0818 2.0616
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -4.04 -3.45 -3.15
## phi2 6.50 4.88 4.16
## phi3 8.73 6.49 5.47
dftestlw2<-[Link](lwt,type="trend", selectlags="AIC")
summary(dftestlw2)
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = [Link] ~ [Link].1 + 1 + tt + [Link])
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.16349 -0.02124 0.00794 0.02984 0.07657
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.2403229 0.2426179 0.991 0.3245
## [Link].1 -0.0192656 0.0189755 -1.015 0.3126
## tt 0.0003796 0.0002028 1.872 0.0643 .
## [Link] 0.1734590 0.1028001 1.687 0.0949 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.04149 on 93 degrees of freedom
## Multiple R-squared: 0.07249, Adjusted R-squared: 0.04257
## F-statistic: 2.423 on 3 and 93 DF, p-value: 0.07078
##
##
## Value of test-statistic is: -1.0153 1.8719 1.7902
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -4.04 -3.45 -3.15
## phi2 6.50 4.88 4.16
## phi3 8.73 6.49 5.47
## PP-test
??[Link]
pptestli<-[Link](lit, type="Z-tau",model="trend", lags="long")
summary(pptestli)
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept and trend
##
##
## Call:
## lm(formula = y ~ y.l1 + trend)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.042682 -0.010770 -0.000481 0.010978 0.054949
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.3323502 0.5441324 2.449 0.0162 *
## y.l1 0.8781954 0.0499916 17.567 <2e-16 ***
## trend 0.0007706 0.0003155 2.443 0.0164 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01774 on 95 degrees of freedom
## Multiple R-squared: 0.9905, Adjusted R-squared: 0.9903
## F-statistic: 4947 on 2 and 95 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -2.6412
##
## aux. Z statistics
## Z-tau-mu 1.8554
## Z-tau-beta 3.0671
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -4.053974 -3.455671 -3.153363
pptestlw<-[Link](lwt, type="Z-tau",model="trend", lags="long")
summary(pptestlw)
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept and trend
##
##
## Call:
## lm(formula = y ~ y.l1 + trend)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.162413 -0.018989 0.003984 0.028772 0.081940
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.1850002 0.2492998 0.742 0.4599
## y.l1 0.9865149 0.0189879 51.955 <2e-16 ***
## trend 0.0003582 0.0002015 1.778 0.0786 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.04198 on 95 degrees of freedom
## Multiple R-squared: 0.9817, Adjusted R-squared: 0.9813
## F-statistic: 2552 on 2 and 95 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.9743
##
## aux. Z statistics
## Z-tau-mu 0.1917
## Z-tau-beta 2.0091
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -4.053974 -3.455671 -3.153363
pptestli2<-[Link](lit,type="Z-tau",model="constant", lags="long")
summary(pptestli2)
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept
##
##
## Call:
## lm(formula = y ~ y.l1)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.050463 -0.009215 0.000469 0.010367 0.053650
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.03035 0.11206 0.271 0.787
## y.l1 0.99782 0.01029 96.961 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.01819 on 96 degrees of freedom
## Multiple R-squared: 0.9899, Adjusted R-squared: 0.9898
## F-statistic: 9401 on 1 and 96 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.1024
##
## aux. Z statistics
## Z-tau-mu 0.1702
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -3.49776 -2.890909 -2.58224
pptestlw2<-[Link](lwt, type="Z-tau",model="trend", lags="long")
summary(pptestlw2)
##
## ##################################
## # Phillips-Perron Unit Root Test #
## ##################################
##
## Test regression with intercept and trend
##
##
## Call:
## lm(formula = y ~ y.l1 + trend)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.162413 -0.018989 0.003984 0.028772 0.081940
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.1850002 0.2492998 0.742 0.4599
## y.l1 0.9865149 0.0189879 51.955 <2e-16 ***
## trend 0.0003582 0.0002015 1.778 0.0786 .
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.04198 on 95 degrees of freedom
## Multiple R-squared: 0.9817, Adjusted R-squared: 0.9813
## F-statistic: 2552 on 2 and 95 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic, type: Z-tau is: -0.9743
##
## aux. Z statistics
## Z-tau-mu 0.1917
## Z-tau-beta 2.0091
##
## Critical values for Z statistics:
## 1pct 5pct 10pct
## critical values -4.053974 -3.455671 -3.153363