at first, i just sent this to two people  but then i realized that it
may be useful to send it to the whole list also.  thank you.

________________________________

From: Leeds, Mark (IED) 
Sent: Friday, January 26, 2007 11:36 AM
To: 'bernhard@pfaffikus.de'
Cc: 'Achim Zeileis'
Subject: Re: [R] comparison of packages for Unit Root test


hi dr. pfaff and dr. zeileis : i hope that all is well with both of you.
we have communicated a few times in the past. my name is mark leeds. i
just had a question that i was hoping one of  you could answer or help
me with ?
 
in james hamilton's book he clearly explains that, when doing unit root
testing, the critical values depend on both the data generagting process
and
the estimating regression. he spells out four cases :
 
 
case 1: dgp :                        : no constant
           estimating regression : no constant
 
case 2: dgp :                        : no constant
           estimating regression : includes constant
 
case 3: dgp :                        : constant but no trend
           estimating regression : constant but no trend
 
case 4: dgp :                        : constant 
           estimating regression : contant and trend
 
 
then he explains that various tables need to be looked up, depending on
the case. except in case 3, where the normal tables can be used.
 
what i am confused about is that all the punitroot/adf.test procedures (
in urca, fseries, S+finmetrics etc ) have options for trend which are
"nc", "c" and "ct"
and i have two quesitons about this :
 
1) does this option refer to the data generating process or the
estimating regression ?
 
2) why are there only 3 cases for trend in the functions when Hamilton's
book shows four ?
 
thanks a lot.
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This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

