# [R] What is the CADF test criterion="BIC" report?

p99323005 at ntu.edu.tw p99323005 at ntu.edu.tw
Mon Nov 14 04:34:55 CET 2011

```Hello:
I am a rookie in using R. When I used the unit root test in
"CADFtest", I got the different t-test statistics between using
criterion="BIC" and no using criterion. But when I checked the result
with eviews, I find out that no using criterion is correct. Why after
using criterion="BIC", I got the different result?

Paul

Augmented DF test
t-test statistic:                          -1.389086
p-value:                                    0.855681
Max lag of the diff. dependent variable:    1.000000

Call:
dynlm(formula = formula(model), start = obs.1, end = obs.T)

Residuals:
Min       1Q   Median       3Q      Max
-0.79726 -0.20587 -0.03332  0.23840  0.70460

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 24.342321  17.435476   1.396    0.167
trnd         0.009959   0.006941   1.435    0.156
L(y, 1)     -0.026068   0.018767  -1.389    0.856
L(d(y), 1)   0.615983   0.092632   6.650 7.18e-09 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3533 on 65 degrees of freedom
Multiple R-squared: 0.413,	Adjusted R-squared: 0.3859
F-statistic:    NA on NA and NA DF,  p-value: NA

Augmented DF test
t-test statistic:                          -2.7285715
p-value:                                    0.2282588
Max lag of the diff. dependent variable:    1.0000000

Call:
dynlm(formula = formula(model), start = obs.1, end = obs.T)

Residuals:
Min       1Q   Median       3Q      Max
-0.84769 -0.24745 -0.02081  0.24187  0.82344

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 47.661910  17.439021   2.733  0.00776 **
trnd         0.019217   0.007005   2.743  0.00754 **
L(y, 1)     -0.051256   0.018785  -2.729  0.22826
L(d(y), 1)   0.753011   0.075724   9.944 1.61e-15 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3937 on 78 degrees of freedom
Multiple R-squared: 0.5674,	Adjusted R-squared: 0.5508
F-statistic:    NA on NA and NA DF,  p-value: NA

```