Residual in R
There are to find value of number of error(residual)
> set.seed(20140627)
> N <- 1000
> x <- cumsum(rnorm(N))
> y <- gamma * x + rnorm(N)
> plot(x, type='l')
> lines(y,col="red")
> set.seed(20140623)
> N <- 1000
> x <- cumsum(rnorm(N))
> gamma <- 0.7
> y <- gamma * x + rnorm(N)
> plot(x, type='l')
> lines(y,col="red")
> summary(ur.df(x,type="none"))
Get more
###############################################
# Augmented Dickey-Fuller Test Unit Root Test #
###############################################
Test regression none
Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-3.1444 -0.6358 -0.0201 0.7097 3.8195
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z.lag.1 -0.0008732 0.0014633 -0.597 0.551
z.diff.lag 0.0419997 0.0316662 1.326 0.185
Residual standard error: 1.005 on 996 degrees of freedom
Multiple R-squared: 0.002076, Adjusted R-squared: 7.212e-05
F-statistic: 1.036 on 2 and 996 DF, p-value: 0.3553
Value of test-statistic is: -0.5967
Critical values for test statistics:
1pct 5pct 10pct
tau1 -2.58 -1.95 -1.62
> summary(ur.df(y,type="none"))
###############################################
# Augmented Dickey-Fuller Test Unit Root Test #
###############################################
Test regression none
Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-4.5647 -0.9378 0.0417 1.0174 3.5752
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z.lag.1 -0.002696 0.002934 -0.919 0.358
z.diff.lag -0.389791 0.029172 -13.362 <2e-16 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 1.407 on 996 degrees of freedom
Multiple R-squared: 0.1539, Adjusted R-squared: 0.1522
F-statistic: 90.61 on 2 and 996 DF, p-value: < 2.2e-16
Value of test-statistic is: -0.9188
Critical values for test statistics:
1pct 5pct 10pct
tau1 -2.58 -1.95 -1.62
> z = y - gamma*x
> plot(z,type='l')
> summary(ur.df(z,type="none"))
###############################################
# Augmented Dickey-Fuller Test Unit Root Test #
###############################################
Test regression none
Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-3.4403 -0.7938 -0.0945 0.5917 3.1327
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z.lag.1 -0.95411 0.04390 -21.735 <2e-16 ***
z.diff.lag -0.01968 0.03154 -0.624 0.533
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.9939 on 996 degrees of freedom
Multiple R-squared: 0.4895, Adjusted R-squared: 0.4885
F-statistic: 477.5 on 2 and 996 DF, p-value: < 2.2e-16
Value of test-statistic is: -21.7351
Critical values for test statistics:
1pct 5pct 10pct
tau1 -2.58 -1.95 -1.62
> coin <- lm(y ~ x -1)
> coin$resid
1 2 3 4
-1.4559289216 -3.3305449669 0.9385355510 -1.4704558040
5 6 7 8
1.0541534820 -0.6039011562 -0.9064456717 0.0400194082
9 10 11 12
-1.1440630977 1.1336514226 -1.9535565173 -0.2586728266
13 14 15 16
-1.0450347883 0.5644583778 -0.1614503018 0.2215425249
17 18 19 20
1.5003804989 0.0968812713 0.8000054857 1.4359390924
21 22 23 24
-0.8035986205 -1.5296383910 0.6603152535 -0.7438004942
25 26 27 28
0.0370078025 0.6416815010 -0.1362839910 0.7828202705
29 30 31 32
-0.4590469535 0.3441865041 -0.2238186465 -0.1143874137
33 34 35 36
1.0732748405 -1.0846536174 -1.6965929119 0.0511918878
37 38 39 40
0.9694594375 0.1061912852 0.2820258690 -1.0902660147
41 42 43 44
-0.4577445722 -2.6283742337 0.4524661591 -0.0984840460
45 46 47 48
-0.8775026809 -0.4562530123 -1.1025386997 -0.5001380694
49 50 51 52
1.1779922590 -1.0954320969 0.1619766720 -0.9491828435
53 54 55 56
-0.4278274704 -0.6340382767 0.9885393645 0.1008461752
57 58 59 60
-0.1778507641 1.3115923835 0.9407135961 -0.0467809275
61 62 63 64
1.4445758173 -1.4517711355 0.9215939610 -1.2937018614
65 66 67 68
-0.4758239631 -0.9178272633 0.3447558261 0.6052077319
69 70 71 72
0.3490545463 0.1093920530 -0.8055175880 -1.6603645244
73 74 75 76
-1.6300359288 1.1577902487 -0.3122159971 1.7578605704
77 78 79 80
0.3576730818 -1.7045018069 -1.3031538346 -0.1597588445
81 82 83 84
0.0355166302 -1.3823116913 -0.6926672070 -0.8483207266
85 86 87 88
1.6410710121 0.9983815539 -1.0513802684 1.3199536751
89 90 91 92
1.7527375458 1.2518284993 0.8330762328 -0.3846995301
93 94 95 96
0.7541378073 1.1357123046 1.1115317335 -2.2496880065
97 98 99 100
-2.0867109836 0.0155667436 -0.6898812819 -1.1375123253
101 102 103 104
0.6618448532 -0.8627491079 1.1010046855 0.6438563849
105 106 107 108
-1.0609416841 1.0058071799 -1.0762583255 1.1477045026
109 110 111 112
-0.7281727540 -0.8471257443 0.6508336679 -0.1476923425
113 114 115 116
-0.3025613150 -0.6137057822 -0.6474388480 1.7241175905
117 118 119 120
-0.9514548647 -0.5779288762 2.2631865003 -0.6887940520
121 122 123 124
-0.1133937557 0.5475686603 -1.6608898000 -1.0335809794
125 126 127 128
0.8486462292 1.4139698823 0.8525983530 0.0024913226
129 130 131 132
1.4261264970 -0.0628230488 -0.2783591993 -0.0934540139
133 134 135 136
-1.1111704356 1.7551531243 -0.6455284763 -1.2190668298
137 138 139 140
1.0337447381 -1.3455523879 1.0896517466 1.5202311655
141 142 143 144
1.3517292229 2.0689070728 1.0698973164 0.5869327500
145 146 147 148
-1.9569678189 0.4807821231 0.7981864736 -1.0243356108
149 150 151 152
-0.1150417965 -1.4608124574 0.8226072660 0.4505345183
153 154 155 156
-0.9725685745 -0.5360158552 -0.2864483402 -1.6430398287
157 158 159 160
0.3438377063 -0.2453941422 -0.8193375392 -0.9270273587
161 162 163 164
-0.6849967225 -0.9151173293 -0.6838343097 -0.0314248506
165 166 167 168
0.4484780942 -0.1374215822 0.6611235168 -1.6689930307
169 170 171 172
0.5850159390 1.3215514103 1.6600497030 0.4590746834
173 174 175 176
-0.0421070608 -1.1852781387 0.8891330492 -1.4076657131
177 178 179 180
-0.8645209617 -0.7297360989 -2.2556733774 -1.6250753147
181 182 183 184
0.4754445004 -0.0213971222 1.0356264296 0.7522689272
185 186 187 188
0.5140093542 -1.4524721126 0.8456508149 0.6708327125
189 190 191 192
-0.5188226001 -0.0500265446 0.3068719915 0.5229585206
193 194 195 196
-0.1755203809 0.9482318017 1.1091291675 0.5102785846
197 198 199 200
-0.4988210927 0.1138662264 0.2305845191 0.8716165749
201 202 203 204
0.2884697566 -1.2683204172 0.9470987676 -1.8029752705
205 206 207 208
0.0286647106 0.5689711422 -0.2833299324 -0.0917693003
209 210 211 212
0.5194688417 -0.1862977030 -0.6182793290 -0.2184361631
213 214 215 216
0.5110013935 -1.2295708108 -2.0393136948 0.8694036503
217 218 219 220
0.4752684735 0.8117237428 0.6603291195 0.0162367764
221 222 223 224
-0.7328553842 1.7226455064 0.7477305396 0.4055457913
225 226 227 228
-0.1756081813 -1.4987530352 0.5360166153 0.3750433064
229 230 231 232
-1.0585645576 -1.0658040584 0.9719615820 -0.5769332737
233 234 235 236
-0.6362085490 0.0704671832 -0.8697940110 -0.9531930292
237 238 239 240
-1.7004017016 -1.0478606503 -0.8121503405 -1.0579020433
241 242 243 244
-1.0550731634 -0.6929452463 1.2472856693 0.0330663532
245 246 247 248
-1.4242810452 -1.1694516456 0.3783348135 0.3254143359
249 250 251 252
-0.7841796086 -0.0018088394 0.0831572967 0.4571219736
253 254 255 256
0.0541264417 -0.3543653486 -1.7092181837 -0.8957517044
257 258 259 260
-1.0089174073 -0.0118127496 -1.1215700840 1.0548098369
261 262 263 264
-0.8162576895 -1.3806707040 1.0846332960 -0.8909391057
265 266 267 268
-0.3610993327 -0.6907284889 -0.4357667661 0.3580319205
269 270 271 272
-1.1588990602 -1.4042082334 0.1320754142 -1.4571675153
273 274 275 276
0.4281627213 0.8290480005 -1.9469477440 0.0536394375
277 278 279 280
-0.4618984950 0.1632646560 -0.1852339714 -0.3208342245
281 282 283 284
-1.7648858502 0.6172166076 -0.7311873661 0.5822546249
285 286 287 288
-0.7654301882 -0.3504320597 -1.3812322697 -0.4922911969
289 290 291 292
-0.5222316176 -0.4232846421 0.4471976152 0.7251413194
293 294 295 296
-1.1652440434 -0.9335363751 -0.2600850699 -0.1734545889
297 298 299 300
0.0413874575 2.8363493125 0.0255535500 -0.8652675765
301 302 303 304
-1.7893069934 -0.5543945340 0.2150885737 -1.5482976325
305 306 307 308
-1.0122038293 -2.4737223489 -0.2771355507 -0.7528876937
309 310 311 312
-1.2994359252 1.6110786914 0.6873772795 0.8425453898
313 314 315 316
0.3198252711 -1.5209102994 -0.1683065944 -1.2461821371
317 318 319 320
0.2366701409 -0.2718600778 -1.6609521048 -0.8148978437
321 322 323 324
-0.0048975297 -0.1148059694 -0.3100397260 0.7516323175
325 326 327 328
-2.2310215552 0.6350487211 -0.1645259922 -1.8994072081
329 330 331 332
0.3453213378 -1.8006161802 -0.6563694791 -0.2058391644
333 334 335 336
-0.4135891085 1.0267558576 0.1344918507 0.3653907071
337 338 339 340
1.6640371733 0.6137229460 0.4899881861 0.8705776835
341 342 343 344
-1.3929030423 0.0773718604 -0.5149528004 -1.9483550425
345 346 347 348
-0.0381131950 0.6710101091 1.9126147279 -0.9261627233
349 350 351 352
-0.1484044784 0.0469532768 0.0207748331 1.0624718197
353 354 355 356
-0.8363398533 0.0947881729 1.0991507368 -1.3029933715
357 358 359 360
-0.9768772465 -0.3776311552 0.1334915612 -0.3414055561
361 362 363 364
-0.3611979544 0.9510957094 0.2661874805 -0.5648329518
365 366 367 368
0.2367049090 0.0315283658 -2.3551779751 -0.6058857052
369 370 371 372
-0.8327351707 -1.4940024214 0.4347403494 -2.6468842771
373 374 375 376
-0.3893997686 -0.0512761720 0.7123949281 -0.6207095169
377 378 379 380
-1.6803787441 0.5895589654 -0.2558026811 -0.3679300271
381 382 383 384
1.8870257206 0.1847564543 2.6815783376 0.6503274305
385 386 387 388
-0.2169919323 0.0755565673 -0.3801224321 -0.6365705305
389 390 391 392
-0.0890813248 -1.1294861574 -0.2570995047 0.3700859050
393 394 395 396
0.7359988297 -0.0288365327 -0.2782530301 0.4354055781
397 398 399 400
0.5616839698 1.2636368189 0.6592820319 0.2184297405
401 402 403 404
1.8835709258 1.3877435363 0.2342760868 0.2136240521
405 406 407 408
-1.3544460289 -0.9372154912 0.6478861110 1.4766790452
409 410 411 412
-0.0078576852 -1.7827281189 -0.6064922899 -0.0990811632
413 414 415 416
-1.9705415994 0.7599329132 -0.0193142202 -0.8950364616
417 418 419 420
-0.7584654405 0.6964949441 -1.4596141627 -0.6456627619
421 422 423 424
-0.1850221773 0.1275389564 -1.9183121032 -0.4661974097
425 426 427 428
-1.4664924875 0.4550363159 0.8084865447 -0.3939137119
429 430 431 432
-1.9342116131 1.3778608942 1.8796364891 1.6140081487
433 434 435 436
0.9661523009 0.1931727451 0.5202520175 0.3782103407
437 438 439 440
-1.0975324332 1.1041700332 1.5853955610 -0.1695093859
441 442 443 444
-0.1975968331 -0.7363872772 2.0267700486 0.2929393784
445 446 447 448
-1.0192457425 -1.5829520226 -0.2690189477 -0.6072601511
449 450 451 452
0.0446503764 0.7249093449 -0.2694879722 -0.4353493374
453 454 455 456
0.0455590366 0.9841500036 -0.2823097554 0.2891273404
457 458 459 460
-1.0344153388 -0.4627242384 -0.6748140591 1.0050054784
461 462 463 464
1.1785443108 0.4854077112 -0.1961207728 0.6097533410
465 466 467 468
-1.2179871169 -0.3652849465 -0.5725892834 0.8983080006
469 470 471 472
0.2523451004 -0.0268992434 -0.2075449606 -0.1058267429
473 474 475 476
0.8289539112 -2.1852342876 1.6971809747 -0.1668625713
477 478 479 480
-0.1380882449 1.3006728461 1.4638437238 0.7458379808
481 482 483 484
-0.6881701104 -0.1981763775 1.1357243163 0.1328797482
485 486 487 488
-0.3183087654 -1.5151801405 0.0806507254 0.8149829984
489 490 491 492
-0.3277466983 0.6109435317 -0.0513129421 0.0453066792
493 494 495 496
0.5975348977 -0.4466036867 -0.6485686876 -0.5351855072
497 498 499 500
0.1966379126 -1.4571520352 1.5246864769 0.4571181067
501 502 503 504
-1.1964767871 -0.4072423744 -1.1620383785 -0.7901853054
505 506 507 508
0.3088312163 -0.2774774534 -1.2767596796 -1.5616105950
509 510 511 512
0.7510184353 -2.1466948141 0.3482460965 -0.1363840572
513 514 515 516
-0.1059011902 1.2428888764 -0.5432368868 -0.7868592302
517 518 519 520
0.7521366782 0.5391643665 -0.1779124153 0.0549130847
521 522 523 524
-3.3749810350 0.9647202577 0.6039629755 3.2274943089
525 526 527 528
-0.0959362123 -0.4726978378 0.3500138691 -0.0347499312
529 530 531 532
1.8669580103 -0.6735934198 -0.1461827432 0.3467578310
533 534 535 536
-0.1349068979 -2.8261715601 -0.8736612284 1.3910265186
537 538 539 540
-1.0588489020 -0.9474232122 -1.2556770350 0.6748555412
541 542 543 544
1.2008077516 -0.8302680101 1.4461286039 -0.7971083770
545 546 547 548
-1.1786687875 -0.7846706726 -0.9629844239 0.2971864436
549 550 551 552
-0.7981199563 -1.5818302771 -0.3070923187 -0.8497031858
553 554 555 556
-0.2173204095 0.8419805396 0.4298228213 -2.2942745526
557 558 559 560
-1.0604881305 -1.8587623197 -0.6575978508 0.8932054117
561 562 563 564
-0.3708302550 1.6278787517 -0.3841761529 1.2866106155
565 566 567 568
0.2931503879 1.4407293653 -1.6338293000 0.4605223912
569 570 571 572
0.4548375126 0.5089305028 0.8967813581 -1.0853150792
573 574 575 576
-1.0274347855 0.4765245604 -0.2628306175 0.4282841587
577 578 579 580
-0.2793766164 -1.4834731143 -0.0914343051 -0.9743251128
581 582 583 584
1.1638045510 2.1363079484 1.1122784130 -0.8840123132
585 586 587 588
0.4401121616 -0.8489601279 -0.7145261660 0.4268329116
589 590 591 592
1.3733834529 -1.0677659161 0.6204650797 -0.9183367014
593 594 595 596
-1.3266991044 -0.0168241403 -0.3084004345 -1.0294217739
597 598 599 600
1.1391760222 -0.3801605310 1.1108570428 1.1908233038
601 602 603 604
0.0095152941 1.2979187339 1.1134050139 -0.1107688747
605 606 607 608
1.2349795070 -1.4955150211 0.2603579328 1.8512039450
609 610 611 612
0.1928628299 1.6622554337 1.2031785499 -1.1859052646
613 614 615 616
-0.7278280592 1.4881710299 -0.4069526253 -0.1960403028
617 618 619 620
-0.5895201905 2.2574890464 -1.2886635070 -0.8255321138
621 622 623 624
1.0875109397 -0.4125655855 -0.9157253666 1.5169994450
625 626 627 628
0.9802772300 -0.4101508102 0.2120085895 -0.8042009070
629 630 631 632
1.5795051618 -0.9026767073 -1.6891350349 0.5609827284
633 634 635 636
-0.3333953300 2.0418421245 1.0490918009 0.3749229781
637 638 639 640
-1.3956847423 0.2066368356 1.2983435468 -0.8227922279
641 642 643 644
0.0613811652 -0.4624319702 -0.3782903308 0.7680049741
645 646 647 648
-1.5032813335 -0.3324799786 -0.8205095814 0.2736012330
649 650 651 652
0.2120772436 -0.5106633387 1.9109181342 1.2050159898
653 654 655 656
-0.3881834942 0.6475434273 -0.6248123615 1.8555214734
657 658 659 660
-0.6613715891 0.5507611366 -0.8751893478 -1.8081691551
661 662 663 664
-0.3215903168 -0.0443601649 -0.1192452295 0.2214565229
665 666 667 668
0.2630824173 -1.6149043360 0.0120478301 1.1601772172
669 670 671 672
0.4550890733 2.2373295644 0.2645838763 0.8900081338
673 674 675 676
1.8461905863 -1.5842735994 0.1782351854 -2.2619894421
677 678 679 680
1.2045743520 -0.9217811957 -0.5913965783 -0.1967131043
681 682 683 684
0.1588533526 1.2441231906 0.6277417238 -2.3701029834
685 686 687 688
0.0875771716 -0.9430813586 0.9956359963 2.5827689159
689 690 691 692
-1.0564534927 1.1128597358 1.6124284615 -0.2563150722
693 694 695 696
-0.1464086134 -0.9849286233 0.0472224275 -1.7800072372
697 698 699 700
1.0642288462 0.3738879512 -0.2347304122 1.0399153679
701 702 703 704
0.0328662129 0.4174312041 0.2958274929 -0.4450807135
705 706 707 708
-0.0489117738 -0.0910086842 -0.5204573283 0.3765231716
709 710 711 712
-0.4136424154 0.1001020730 -0.6618241795 -0.7920903799
713 714 715 716
-1.2498630815 0.3179464014 -0.0245185094 0.4798740827
717 718 719 720
1.1627212065 2.3545007265 -0.8092862540 -1.1982366801
721 722 723 724
0.3861676607 -0.0315167393 0.3951327206 -1.3283067068
725 726 727 728
-1.7411509954 -0.2822734796 0.5822992429 -0.3999329820
729 730 731 732
-0.6437381918 0.5811874508 -0.6727053761 0.8439737132
733 734 735 736
0.5008210382 -0.4438976736 -1.1554002710 -0.1734495675
737 738 739 740
1.3641625217 1.7062395743 1.5146663542 -0.4592359105
741 742 743 744
0.9231457633 1.4628435945 -0.6607880468 1.5271661922
745 746 747 748
-0.7340515476 0.0973174724 0.7463073880 0.3573188163
749 750 751 752
1.2800543644 -1.1223744312 -0.7523308433 0.1978535066
753 754 755 756
-0.4240688639 -1.0470883971 0.7336998728 -0.9841056904
757 758 759 760
0.7133327809 -0.0005558969 0.1535944383 0.7283124842
761 762 763 764
-0.0499675830 0.7193858736 0.3248813432 1.2109058678
765 766 767 768
-2.1627322699 0.4822261334 -0.0961711725 -0.1610545451
769 770 771 772
-1.2796581287 -0.4493831198 0.0577418007 -1.1817729956
773 774 775 776
0.2757942970 -0.3313804114 -0.1934428012 -1.4388633235
777 778 779 780
-1.9225496316 -1.6777686851 -0.4878413549 1.1708666540
781 782 783 784
-0.1995523643 0.3616768742 0.1374709353 -0.5034907032
785 786 787 788
-0.7208728455 -0.7648047844 -1.7482247066 0.3242571863
789 790 791 792
-0.6539929401 -0.6232508768 -0.9075500796 0.2667545216
793 794 795 796
-1.0686828632 0.4528488381 -0.2582483969 -0.2838390577
797 798 799 800
-0.4279607465 -1.3463747584 -0.4814032202 -0.8120747493
801 802 803 804
1.2042978259 0.1688546451 1.4965669552 -0.8289595791
805 806 807 808
-1.1526986718 1.7153349046 -0.6731198599 -0.0422917255
809 810 811 812
0.3553990571 0.3918956751 0.4974021199 0.2826950330
813 814 815 816
0.3032063682 0.0970679275 0.5788361486 -0.3333754621
817 818 819 820
0.4351521489 0.2779284028 2.2592717901 0.6345628809
821 822 823 824
-0.7325262788 1.3980098778 1.4888658640 -1.2036899752
825 826 827 828
-0.1449398707 0.1282647636 0.3846124073 0.7740135073
829 830 831 832
0.4522017539 -0.0433834750 1.6165961766 -0.9292241527
833 834 835 836
1.3247856265 1.4086371533 1.7573035141 -0.7955488613
837 838 839 840
-0.9378646756 -0.8314594965 -0.3818594250 -0.7341906392
841 842 843 844
0.6359390465 0.1561903122 1.5024711598 0.0469028734
845 846 847 848
-1.0053710705 0.0275014832 0.1586503231 -1.9789268791
849 850 851 852
0.1686041053 0.1673713463 0.0063579576 0.1841883149
853 854 855 856
2.5662169527 1.0037934864 -0.4657031424 -0.5618786240
857 858 859 860
0.8717358095 0.6060811403 0.2955387817 -0.1847765578
861 862 863 864
-0.5175554718 -2.2855258637 -0.4315459717 1.4794492095
865 866 867 868
-0.7360568098 -1.0417725570 -0.0593390816 0.4548263234
869 870 871 872
0.0897049497 -0.2713348135 2.0600517659 0.6335007866
873 874 875 876
0.1909273483 0.7397304449 0.3316926538 -1.0504520084
877 878 879 880
0.6850515596 1.5984374780 1.9293186194 -0.2486393450
881 882 883 884
2.1004444178 0.8567021636 -1.9828694624 0.6422682922
885 886 887 888
-0.0136404239 -0.2552194385 -0.6431973828 -1.0793957294
889 890 891 892
-0.7336776145 0.2516829978 0.0877217877 -0.2185212737
893 894 895 896
-0.5996141181 0.1712586516 -0.8076675489 -1.4301727867
897 898 899 900
-0.8204568705 0.3727244157 0.7275731173 -0.8962441532
901 902 903 904
0.2663825364 1.5910138159 -0.6339866195 1.6649642429
905 906 907 908
-1.8519123235 1.8106598966 1.4150031800 0.7359147923
909 910 911 912
-0.6562576957 -0.4455960124 1.5293563504 0.5114190905
913 914 915 916
-0.2018299413 -0.1477502549 -2.1459053727 1.2344654587
917 918 919 920
1.2899180978 -0.1595304634 0.5845060952 -0.2440792655
921 922 923 924
0.0879214553 0.3632949143 -1.0839341557 0.4236128652
925 926 927 928
-1.0096001926 0.0246022990 -0.6484504706 -0.2469375747
929 930 931 932
0.0221194271 0.7806282004 0.8123057052 0.4713859143
933 934 935 936
-1.2308354957 0.5720804400 -0.4143848953 0.1024591732
937 938 939 940
1.8469219571 -0.0210254666 -0.3536957700 1.2971025675
941 942 943 944
0.5478256099 -1.1354807716 -0.6917843740 1.9041857820
945 946 947 948
-0.7241695940 -0.6729842440 0.3689497149 -0.4106370686
949 950 951 952
0.7147607730 -0.9072333516 0.9289590511 0.4393292883
953 954 955 956
0.4981505400 0.3899807433 1.3848826037 0.0113746735
957 958 959 960
-0.2657587423 -0.7075446118 -1.3163151713 0.6452655289
961 962 963 964
0.9589406581 -0.9035068304 0.0588445528 -2.6801795664
965 966 967 968
-0.2272748836 -0.7982126972 -0.4397743182 0.3445393514
969 970 971 972
-1.0996309537 -1.0933628756 0.6371216322 0.9320368832
973 974 975 976
1.1302856400 1.5496678143 0.5937533632 -1.9691612636
977 978 979 980
1.7736171528 0.2340940705 -0.6955757428 -0.3270636799
981 982 983 984
0.3569119115 1.3123574806 -1.2277960851 0.5835651165
985 986 987 988
-0.4217055021 -0.2763677243 0.6795998156 -1.1304223824
989 990 991 992
-0.4890576151 -1.4093986056 0.7168636015 0.7788276383
993 994 995 996
-0.7632027626 -1.2214715995 0.4544746790 0.9757208995
997 998 999 1000
-1.3856673041 -0.5918753440 1.9657591650 0.6578615376
> summary(ur.df(coin$resid))
###############################################
# Augmented Dickey-Fuller Test Unit Root Test #
###############################################
Test regression none
Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)
Residuals:
Min 1Q Median 3Q Max
-3.3734 -0.7470 -0.0541 0.6225 3.1987
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z.lag.1 -0.96175 0.04399 -21.861 <2e-16 ***
z.diff.lag -0.01585 0.03154 -0.503 0.615
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.9919 on 996 degrees of freedom
Multiple R-squared: 0.4914, Adjusted R-squared: 0.4904
F-statistic: 481.2 on 2 and 996 DF, p-value: < 2.2e-16
Value of test-statistic is: -21.8607
Critical values for test statistics:
1pct 5pct 10pct
tau1 -2.58 -1.95 -1.62
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