R语言 ur.df函数（2） 

  1 ############################################################################################
  2 # This R function helps to interpret the output of the urca::ur.df function.
  3 # The rules are based on https://stats.stackexchange.com/questions/24072/interpreting-rs-ur-df-dickey-fuller-unit-root-test-results
  4 #
  5 # urdf is the output of the urca::ur.df function
  6 # level is one of c("1pct", "5pct", "10pct")
  7 #
  8 # Author: Hank Roark
  9 # Date: October 2019
 10 ############################################################################################
 11 interp_urdf <- function(urdf, level="5pct") {
 12   if(class(urdf) != "ur.df") stop('parameter is not of class ur.df from urca package')
 13   if(!(level %in% c("1pct", "5pct", "10pct") ) ) stop('parameter level is not one of 1pct, 5pct, or 10pct')
 14 
 15   cat("========================================================================\n")
 16   cat( paste("At the", level, "level:\n") )
 17   if(urdf@model == "none") {
 18     cat("The model is of type none\n")
 19     tau1_crit = urdf@cval["tau1",level]
 20     tau1_teststat = urdf@teststat["statistic","tau1"]
 21     tau1_teststat_wi_crit = tau1_teststat > tau1_crit
 22     if(tau1_teststat_wi_crit) {
 23       cat("tau1: The null hypothesis is not rejected, unit root is present\n")
 24     } else {
 25       cat("tau1: The null hypothesis is rejected, unit root is not present\n")
 26     }
 27   } else if(urdf@model == "drift") {
 28     cat("The model is of type drift\n")
 29     tau2_crit = urdf@cval["tau2",level]
 30     tau2_teststat = urdf@teststat["statistic","tau2"]
 31     tau2_teststat_wi_crit = tau2_teststat > tau2_crit
 32     phi1_crit = urdf@cval["phi1",level]
 33     phi1_teststat = urdf@teststat["statistic","phi1"]
 34     phi1_teststat_wi_crit = phi1_teststat < phi1_crit
 35     if(tau2_teststat_wi_crit) {
 36       # Unit root present branch
 37       cat("tau2: The first null hypothesis is not rejected, unit root is present\n")
 38       if(phi1_teststat_wi_crit) {
 39         cat("phi1: The second null hypothesis is not rejected, unit root is present\n")
 40         cat("      and there is no drift.\n")
 41       } else {
 42         cat("phi1: The second null hypothesis is rejected, unit root is present\n")
 43         cat("      and there is drift.\n")
 44       }
 45     } else {
 46       # Unit root not present branch
 47       cat("tau2: The first null hypothesis is rejected, unit root is not present\n")
 48       if(phi1_teststat_wi_crit) {
 49         cat("phi1: The second null hypothesis is not rejected, unit root is present\n")
 50         cat("      and there is no drift.\n")
 51         warning("This is inconsistent with the first null hypothesis.")
 52       } else {
 53         cat("phi1: The second null hypothesis is rejected, unit root is not present\n")
 54         cat("      and there is drift.\n")
 55       }
 56     }
 57   } else if(urdf@model == "trend") {
 58     cat("The model is of type trend\n")
 59     tau3_crit = urdf@cval["tau3",level]
 60     tau3_teststat = urdf@teststat["statistic","tau3"]
 61     tau3_teststat_wi_crit = tau3_teststat > tau3_crit
 62     phi2_crit = urdf@cval["phi2",level]
 63     phi2_teststat = urdf@teststat["statistic","phi2"]
 64     phi2_teststat_wi_crit = phi2_teststat < phi2_crit
 65     phi3_crit = urdf@cval["phi3",level]
 66     phi3_teststat = urdf@teststat["statistic","phi3"]
 67     phi3_teststat_wi_crit = phi3_teststat < phi3_crit
 68     if(tau3_teststat_wi_crit) {
 69       # First null hypothesis is not rejected, Unit root present branch
 70       cat("tau3: The first null hypothesis is not rejected, unit root is present\n")
 71       if(phi3_teststat_wi_crit) {
 72         # Second null hypothesis is not rejected
 73         cat("phi3: The second null hypothesis is not rejected, unit root is present\n")
 74         cat("      and there is no trend\n")
 75         if(phi2_teststat_wi_crit) {
 76           # Third null hypothesis is not rejected
 77           # a0-drift = gamma = a2-trend = 0
 78           cat("phi2: The third null hypothesis is not rejected, unit root is present\n")
 79           cat("      there is no trend, and there is no drift\n")
 80         } else {
 81           # Third null hypothesis is rejected
 82           cat("phi2: The third null hypothesis is rejected, unit root is present\n")
 83           cat("      there is no trend, and there is drift\n")
 84         }
 85       }
 86       else {
 87         # Second null hypothesis is rejected
 88         cat("phi3: The second null hypothesis is rejected, unit root is present\n")
 89         cat("      and there is trend\n")
 90         if(phi2_teststat_wi_crit) {
 91           # Third null hypothesis is not rejected
 92           # a0-drift = gamma = a2-trend = 0
 93           cat("phi2: The third null hypothesis is not rejected, unit root is present\n")
 94           cat("      there is no trend, and there is no drift\n")
 95           warning("This is inconsistent with the second null hypothesis.")
 96         } else {
 97           # Third null hypothesis is rejected
 98           cat("phi2: The third null hypothesis is rejected, unit root is present\n")
 99           cat("      there is trend, and there may or may not be drift\n")
100           warning("Presence of drift is inconclusive.")
101         }
102       }
103     } else {
104       # First null hypothesis is rejected, Unit root not present branch
105       cat("tau3: The first null hypothesis is rejected, unit root is not present\n")
106       if(phi3_teststat_wi_crit) {
107         cat("phi3: The second null hypothesis is not rejected, unit root is present\n")
108         cat("      and there is no trend\n")
109         warning("This is inconsistent with the first null hypothesis.")
110         if(phi2_teststat_wi_crit) {
111           # Third null hypothesis is not rejected
112           # a0-drift = gamma = a2-trend = 0
113           cat("phi2: The third null hypothesis is not rejected, unit root is present\n")
114           cat("      there is no trend, and there is no drift\n")
115           warning("This is inconsistent with the first null hypothesis.")
116         } else {
117           # Third null hypothesis is rejected
118           cat("phi2: The third null hypothesis is rejected, unit root is not present\n")
119           cat("      there is no trend, and there is drift\n")
120         }
121       } else {
122         cat("phi3: The second null hypothesis is rejected, unit root is not present\n")
123         cat("      and there may or may not be trend\n")
124         warning("Presence of trend is inconclusive.")
125         if(phi2_teststat_wi_crit) {
126           # Third null hypothesis is not rejected
127           # a0-drift = gamma = a2-trend = 0
128           cat("phi2: The third null hypothesis is not rejected, unit root is present\n")
129           cat("      there is no trend, and there is no drift\n")
130           warning("This is inconsistent with the first and second null hypothesis.")
131         } else {
132           # Third null hypothesis is rejected
133           cat("phi2: The third null hypothesis is rejected, unit root is not present\n")
134           cat("      there may or may not be trend, and there may or may not be drift\n")
135           warning("Presence of trend and drift is inconclusive.")
136         }
137       }
138     }
139   } else warning('urdf model type is not one of none, drift, or trend')
140   cat("========================================================================\n")
141 }

 

posted @ 2020-04-04 16:33  kisenhz  阅读(1018)  评论(0)  编辑  收藏  举报