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

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Thu Mar 1 11:07:45 CET 2012


have a look at ur.ers directly. The coefficients can be recovered from the slot 'testreg', i.e.,

coef(ers.gnp at testreg)

RTFM: help("ur.ers") and help("ur.ers-class")


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Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im Auftrag von ackbar03
Gesendet: Mittwoch, 29. Februar 2012 17:20
An: r-help at r-project.org
Betreff: [R] How are the coefficients for the ur.ers, type DF-GLS calculated?

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
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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