Dickey-Fuller?

[Spencer Graves]

Hello, Kurt, Bernhard, Diethelm, and Javier: 

      Can you help me find an R match for the S-Plus Finmetrics 
'unitroot' results below for the Augmented Dickey-Fuller test?  This 
will become part of the "FinTS" package companion to Tsay (2005) 
Analysis of Financial Time Series, 2nd ed. (Wiley).  This example is 
discussed on pp. 69-71 of Tsay (2005).  I'm writing to you, because you 
are the (primary) maintainers for packages with Augmented Dickey-Fuller 
functions, and I've so far been unable to replicate the 'unitroot' 
results.  Below please find my best guess so far of how I should use 
your functions, none of which produce answers sufficiently close to 
'unitroot' to convince me I knew what I was doing. 

      Any help you can give me will be greatly appreciated. 
      Spencer Graves
##################################
##
## 1.  Get the data
##
FinTS.url <- "http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts2/"
gdpFile <- paste(FinTS.url, "q-gdp4703.txt", sep="")
gdp. <- read.table(gdpFile)
gdp <- log(gdp.[, 3])

##
## 2.  Try to replicate the analysis
##

library(tseries)
(adf.e.gdp <- adf.test(gdp, alternative="explosive", k=10))
#Dickey-Fuller = -0.9741, Lag order = 10, p-value = 0.05918

library(urca)
summary(ur.d.gdp <- ur.df(gdp, lags=10))
# statistic = 2.262, between 1 and 5% levels

library(fUnitRoots)
(fadf.c.gdp <- adfTest(gdp, lags=10))
# ADF = 2.262, p-value = 0.99

library(uroot)
(ADF.d.l.gdp <- ADF.test(gdp, c(1,0,0),
                        selectlags=list(mode="signif", Pmax=10)))
#Error in switch(selectlags[[1]], aic = selP <- selPabic(lmdet = lmdf, 
#  argument is missing, with no default
##################################
Ruey S. Tsay ,(Faculty) wrote:
> Hi Spencer:
>
> GDP = ln(x), where x is the column three of the data file "q-gdp4703.txt". 
> The test result may depend onthe way people treat the order and constant term. 
> If you print out more information from R, you may be able to find the difference.
>
> Ruey
>
>
> Below is the output I got from S-Plus. [I did it this morning.]
>   
>> x=read.table("q-gdp4703.txt")
>> gdp=log(x[,3])
>>     
>
>   
>> m=unitroot(gdp,trend='c',method='adf',lags=10)
>> summary(m)
>>     
>
> Test for Unit Root: Augmented DF Test
>
> Null Hypothesis: there is a unit root
>    Type of Test: t-test
>  Test Statistic: -1.131
>         P-value: 0.7038
>
> Coefficients:
>            Value Std. Error t value Pr(>|t|)
>     lag1 -0.0006  0.0006    -1.1306  0.2595
>     lag2  0.3797  0.0679     5.5946  0.0000
>     lag3  0.1866  0.0719     2.5940  0.0102
>     lag4 -0.1056  0.0730    -1.4474  0.1493
>     lag5  0.0287  0.0728     0.3938  0.6942
>     lag6 -0.1535  0.0718    -2.1376  0.0337
>     lag7  0.0790  0.0725     1.0896  0.2772
>     lag8  0.0685  0.0718     0.9550  0.3407
>     lag9 -0.1006  0.0709    -1.4187  0.1575
>    lag10  0.1798  0.0656     2.7405  0.0067
> constant  0.0123  0.0048     2.5654  0.0110
>
> Regression Diagnostics:
>
>          R-Squared 0.2831
> Adjusted R-Squared 0.2485
> Durbin-Watson Stat 2.0265
>
> Residual standard error: 0.009498 on 214 degrees of freedom
> F-statistic: 8.175 on 10 and 207 degrees of freedom, the p-value is 4.078e-11
>
>