[R] How are the coefficients for the ur.ers, type DF-GLS calculated?

R. Michael Weylandt michael.weylandt at gmail.com
Thu Mar 1 05:08:37 CET 2012

Simply type ur.ers on a line by itself to see how the calculation is


On Wed, Feb 29, 2012 at 11:20 AM, ackbar03 <wdai03 at gmail.com> wrote:
> I need some real help on this, really stuck
> how are the coefficients for
> ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
>       lag.max = 0)
> The max lag is set at zero, so the regression should simply be
> Diff(zt) = a*z(t-1)
> where a is the value i'm trying to find and z(t)'s are the detrended values.
> but through performing my own regression on the two time series I get
> different values. This could only mean
> 1) Its not just a simple regression
> or
> 2) I'm detrending my data incorrectly.
> However, i've followed the instructions I've seen in research papers and it
> doesn't seem to be right. Basically I take Y*t = Yt-(1-(1-7/T)*Y(t-1) and
> regress that on 1-(1-7/T)  for all t>1 and leave the values at T=1
> unchanged. Then I take Yt and subtract the coefficient of the regression to
> get the detrended value.
> I'm really stuck on this and its really frustrating. I think the easiest
> thing would be if someone can tell me exactly how R carries out the
> calculations for the functions. Help will be highly appreciated!!
> --
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