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Type 'q()' to quit R. > # This file is part of the fqardl package > library(testthat) > library(fqardl) > > test_check("fqardl") ================================================================= Fourier ADF Unit Root Test Enders & Lee (2012) Economics Letters ================================================================= Model: Constant Sample size: 200 Maximum lag tested: 14 Maximum frequency: 3 Lag selection: AIC ----------------------------------------------------------------- Optimal frequency (k): 1 Optimal lag (p): 0 ADF statistic: -14.8886 P-value: 0.0010 ----------------------------------------------------------------- Critical values: 1% : -4.3700 * 5% : -3.7800 * 10% : -3.4700 * ----------------------------------------------------------------- F-test for linearity (H0: no Fourier terms needed): F-statistic: 107.5806 P-value: 0.0000 -> Reject linearity: Fourier terms ARE significant ----------------------------------------------------------------- Conclusion: Reject null hypothesis of unit root at 5% significance level ================================================================= ================================================================= Fourier ADF Unit Root Test Enders & Lee (2012) Economics Letters ================================================================= Model: Constant Sample size: 200 Maximum lag tested: 14 Maximum frequency: 3 Lag selection: AIC ----------------------------------------------------------------- Optimal frequency (k): 1 Optimal lag (p): 0 ADF statistic: -3.2537 P-value: 0.1216 ----------------------------------------------------------------- Critical values: 1% : -4.3700 5% : -3.7800 10% : -3.4700 ----------------------------------------------------------------- F-test for linearity (H0: no Fourier terms needed): F-statistic: 5.3345 P-value: 0.0056 -> Cannot reject linearity: Consider standard ADF ----------------------------------------------------------------- Conclusion: Cannot reject null hypothesis of unit root at 5% significance level ================================================================= ================================================================= Fourier KPSS Stationarity Test Becker, Enders & Lee (2006) ================================================================= Model: Level Sample size: 200 Optimal frequency: k = 1 ----------------------------------------------------------------- KPSS statistic: 0.071969 P-value: 0.1299 ----------------------------------------------------------------- Critical values: 1% : 0.2699 5% : 0.1720 10% : 0.1318 ----------------------------------------------------------------- Conclusion: Cannot reject null hypothesis of stationarity -> Series is STATIONARY ================================================================= ############################################################### Unit Root Analysis: Test ############################################################### >>> Fourier ADF Test <<< ================================================================= Fourier ADF Unit Root Test Enders & Lee (2012) Economics Letters ================================================================= Model: Constant Sample size: 150 Maximum lag tested: 13 Maximum frequency: 2 Lag selection: AIC ----------------------------------------------------------------- Optimal frequency (k): 2 Optimal lag (p): 0 ADF statistic: -11.4666 P-value: 0.0010 ----------------------------------------------------------------- Critical values: 1% : -4.2000 * 5% : -3.6200 * 10% : -3.3200 * ----------------------------------------------------------------- F-test for linearity (H0: no Fourier terms needed): F-statistic: 0.2543 P-value: 0.7758 -> Cannot reject linearity: Consider standard ADF ----------------------------------------------------------------- Conclusion: Reject null hypothesis of unit root at 5% significance level ================================================================= >>> Fourier KPSS Test <<< ================================================================= Fourier KPSS Stationarity Test Becker, Enders & Lee (2006) ================================================================= Model: Level Sample size: 150 Optimal frequency: k = 2 ----------------------------------------------------------------- KPSS statistic: 0.032790 P-value: 0.1353 ----------------------------------------------------------------- Critical values: 1% : 0.2022 5% : 0.1321 10% : 0.1034 ----------------------------------------------------------------- Conclusion: Cannot reject null hypothesis of stationarity -> Series is STATIONARY ================================================================= =============================================================== JOINT CONCLUSION =============================================================== STATIONARY (I(0)) - Both tests agree Note: Fourier terms ARE significant -> Structural breaks present =============================================================== [ FAIL 0 | WARN 0 | SKIP 6 | PASS 57 ] ══ Skipped tests (6) ═══════════════════════════════════════════════════════════ • On CRAN (6): 'test-fnardl.R:31:3', 'test-fnardl.R:74:3', 'test-fqardl.R:4:3', 'test-fqardl.R:49:3', 'test-mtnardl.R:28:3', 'test-mtnardl.R:70:3' [ FAIL 0 | WARN 0 | SKIP 6 | PASS 57 ] > > proc.time() user system elapsed 2.76 0.62 3.45