def __init__(self):
self.res1 = adfuller(self.y, regression="nc", autolag=None,
maxlag=1)
self.teststat = -2.4511596
self.pvalue = 0.013747 # Stata does not return a p-value for noconstant
# this value is just taken from our results
self.critvalues = [-2.587,-1.950,-1.617]
def __init__(self):
self.res1 = adfuller(self.x, regression="nc", autolag=None,
maxlag=4)
self.teststat = 3.5227498
self.pvalue = .99999 # Stata does not return a p-value for noconstant.
# Tau^max in MacKinnon (1994) is missing, so it is
# assumed that its right-tail is well-behaved
self.critvalues = [-2.587, -1.950, -1.617]
def __init__(self):
self.res1 = adfuller(self.y, regression="ct", autolag=None,
maxlag=1)
self.teststat = -4.425093
self.pvalue = .00199633
self.critvalues = [-4.006, -3.437, -3.137]
def __init__(self):
self.res1 = adfuller(self.y, regression="c", autolag=None,
maxlag=1)
self.teststat = -4.3346988
self.pvalue = .00038661
self.critvalues = [-3.476, -2.883, -2.573]
def __init__(self):
self.res1 = adfuller(self.x, regression="ct", autolag=None,
maxlag=4)
self.teststat = -1.8566374
self.pvalue = .67682968
self.critvalues = [-4.007, -3.437, -3.137]
def __init__(self):
self.res1 = adfuller(self.x, regression="c", autolag=None,
maxlag=4)
self.teststat = .97505319
self.pvalue = .99399563
self.critvalues = [-3.476, -2.883, -2.573]