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Problem with URCA package: No critical values

开发者 https://www.devze.com 2023-03-30 01:16 出处:网络
I\'开发者_如何学编程m using ur.pp function in the URCA package(R): pp <- ur.pp(rnorm(1000), type = \"Z-alpha\", model = \"constant\", lags = \"short\")

I'开发者_如何学编程m using ur.pp function in the URCA package(R):

pp <- ur.pp(rnorm(1000), type = "Z-alpha", model = "constant", lags = "short")

When I try to print the critical values, i get:

> pp@cval
     [,1] [,2] [,3]
[1,]   NA   NA   NA
> 

I need to change the type to Z-tau to see the critical values:

> pp <- ur.pp(rnorm(1000), type = "Z-tau", model = "constant", lags = "short")
> pp@cval
                     1pct      5pct     10pct
critical values -3.439534 -2.864849 -2.568544

Why?

Thank you


Given that the terms "Z-tau" and "Z-alpha" don't even show up in Wikipedia, I'd suggest you contact the package manager directly. The URCA documentation does not mention any dependence of the S4 object returned on the type choice, so this may well be a bug. But it might simply be that "Z-alpha" is some test which has undefined critical values for normal distributions. Without knowing what these tests are, I can't say.

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