Base 2
ADF
##
## Augmented Dickey-Fuller Test
##
## data: IPC_2010
## Dickey-Fuller = -1.1924, Lag order = 5, p-value = 0.9048
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: IPI_2010
## Dickey-Fuller = -4.8553, Lag order = 5, p-value = 0.01
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: TD
## Dickey-Fuller = -2.1943, Lag order = 5, p-value = 0.4955
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: M2
## Dickey-Fuller = -2.1147, Lag order = 5, p-value = 0.5287
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: TI_pm
## Dickey-Fuller = -3.3123, Lag order = 5, p-value = 0.07201
## alternative hypothesis: stationary
##
## Augmented Dickey-Fuller Test
##
## data: COLCAP
## Dickey-Fuller = -2.0324, Lag order = 5, p-value = 0.563
## alternative hypothesis: stationary
ADF AUMENTADA
ADF Aumenentada IPC 2010
##
## ###############################################
## # 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
## -0.97768 -0.17366 -0.02479 0.14343 0.96964
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 0.0010482 0.0002776 3.776 0.000235 ***
## z.diff.lag 0.6529098 0.0613818 10.637 < 2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.2697 on 139 degrees of freedom
## Multiple R-squared: 0.7314, Adjusted R-squared: 0.7275
## F-statistic: 189.2 on 2 and 139 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: 3.7765
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada IPC 2010 con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.93135 -0.13456 -0.01184 0.14002 0.73683
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -0.105548 0.183518 -0.575 0.5663
## z.lag.1 0.001723 0.001739 0.990 0.3240
## z.diff.lag1 0.656963 0.092656 7.090 1.13e-10 ***
## z.diff.lag2 -0.147948 0.107972 -1.370 0.1733
## z.diff.lag3 -0.102252 0.108920 -0.939 0.3498
## z.diff.lag4 0.175047 0.109003 1.606 0.1110
## z.diff.lag5 -0.171807 0.108694 -1.581 0.1167
## z.diff.lag6 -0.009047 0.109428 -0.083 0.9343
## z.diff.lag7 -0.009721 0.109779 -0.089 0.9296
## z.diff.lag8 0.020878 0.109293 0.191 0.8488
## z.diff.lag9 -0.010739 0.107056 -0.100 0.9203
## z.diff.lag10 -0.055165 0.106642 -0.517 0.6059
## z.diff.lag11 0.268219 0.106001 2.530 0.0127 *
## z.diff.lag12 0.104728 0.088053 1.189 0.2367
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.2419 on 116 degrees of freedom
## Multiple R-squared: 0.6143, Adjusted R-squared: 0.5711
## F-statistic: 14.21 on 13 and 116 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: 0.9904 1.4078
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada IPC 2010 con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.94818 -0.17285 -0.02898 0.14540 0.92657
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.488958 0.732381 2.033 0.0440 *
## z.lag.1 -0.015749 0.008147 -1.933 0.0553 .
## tt 0.006365 0.003014 2.112 0.0365 *
## z.diff.lag 0.661019 0.060969 10.842 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.2674 on 137 degrees of freedom
## Multiple R-squared: 0.4766, Adjusted R-squared: 0.4652
## F-statistic: 41.59 on 3 and 137 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: -1.9331 6.3263 2.5243
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47
ADF Aumenentada IPI_2010
##
## ###############################################
## # 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
## -16.6015 -5.0283 0.5055 5.8504 20.4282
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 0.0003478 0.0052579 0.066 0.947
## z.diff.lag -0.3494830 0.0788865 -4.430 1.89e-05 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 7.728 on 139 degrees of freedom
## Multiple R-squared: 0.124, Adjusted R-squared: 0.1113
## F-statistic: 9.834 on 2 and 139 DF, p-value: 0.0001013
##
##
## Value of test-statistic is: 0.0661
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada IPI_2010 con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -14.5483 -2.2635 0.0262 2.5736 15.0627
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) -1.02481 7.57936 -0.135 0.892680
## z.lag.1 0.01679 0.06159 0.273 0.785674
## z.diff.lag1 -0.70227 0.11148 -6.299 5.55e-09 ***
## z.diff.lag2 -0.61493 0.11888 -5.173 9.77e-07 ***
## z.diff.lag3 -0.60241 0.11719 -5.141 1.12e-06 ***
## z.diff.lag4 -0.57507 0.11782 -4.881 3.40e-06 ***
## z.diff.lag5 -0.46163 0.11992 -3.849 0.000194 ***
## z.diff.lag6 -0.50396 0.11816 -4.265 4.10e-05 ***
## z.diff.lag7 -0.47079 0.11630 -4.048 9.36e-05 ***
## z.diff.lag8 -0.46189 0.11559 -3.996 0.000114 ***
## z.diff.lag9 -0.52072 0.10907 -4.774 5.31e-06 ***
## z.diff.lag10 -0.60827 0.10564 -5.758 7.11e-08 ***
## z.diff.lag11 -0.44205 0.10556 -4.188 5.51e-05 ***
## z.diff.lag12 0.23905 0.09095 2.628 0.009743 **
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4.7 on 116 degrees of freedom
## Multiple R-squared: 0.7062, Adjusted R-squared: 0.6732
## F-statistic: 21.45 on 13 and 116 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: 0.2726 2.8925
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada IPI_2010 con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -17.8637 -3.6492 0.0789 4.6410 16.9620
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 88.97615 11.73968 7.579 4.72e-12 ***
## z.lag.1 -0.79992 0.10484 -7.630 3.58e-12 ***
## tt 0.13953 0.02215 6.301 3.77e-09 ***
## z.diff.lag 0.05132 0.08473 0.606 0.546
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 6.516 on 137 degrees of freedom
## Multiple R-squared: 0.386, Adjusted R-squared: 0.3725
## F-statistic: 28.71 on 3 and 137 DF, p-value: 1.824e-14
##
##
## Value of test-statistic is: -7.6296 19.5071 29.1886
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47
ADF Aumenentada TD
##
## ###############################################
## # 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
## -1.9903 -0.6258 -0.2127 0.4146 3.6934
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 -0.007215 0.008960 -0.805 0.422
## z.diff.lag -0.127845 0.083733 -1.527 0.129
##
## Residual standard error: 1.098 on 139 degrees of freedom
## Multiple R-squared: 0.02152, Adjusted R-squared: 0.007442
## F-statistic: 1.529 on 2 and 139 DF, p-value: 0.2205
##
##
## Value of test-statistic is: -0.8052
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada TD con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.31298 -0.32129 -0.01837 0.31157 1.45386
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.53379 0.43500 1.227 0.222261
## z.lag.1 -0.05538 0.04257 -1.301 0.195847
## z.diff.lag1 -0.25664 0.08104 -3.167 0.001970 **
## z.diff.lag2 -0.27317 0.08159 -3.348 0.001097 **
## z.diff.lag3 -0.28993 0.08048 -3.603 0.000465 ***
## z.diff.lag4 -0.20368 0.08198 -2.484 0.014404 *
## z.diff.lag5 -0.31329 0.07946 -3.943 0.000138 ***
## z.diff.lag6 -0.19395 0.08175 -2.372 0.019316 *
## z.diff.lag7 -0.23074 0.08127 -2.839 0.005342 **
## z.diff.lag8 -0.26473 0.07816 -3.387 0.000965 ***
## z.diff.lag9 -0.22089 0.07875 -2.805 0.005904 **
## z.diff.lag10 -0.31066 0.07513 -4.135 6.74e-05 ***
## z.diff.lag11 -0.20789 0.07715 -2.694 0.008097 **
## z.diff.lag12 0.56446 0.07401 7.626 7.30e-12 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.5109 on 116 degrees of freedom
## Multiple R-squared: 0.8035, Adjusted R-squared: 0.7815
## F-statistic: 36.5 on 13 and 116 DF, p-value: < 2.2e-16
##
##
## Value of test-statistic is: -1.301 1.0545
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada TD con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.7360 -0.6600 -0.1818 0.3484 3.4051
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 5.276448 0.916248 5.759 5.33e-08 ***
## z.lag.1 -0.459001 0.077640 -5.912 2.56e-08 ***
## tt -0.008359 0.002521 -3.316 0.00117 **
## z.diff.lag 0.096989 0.084706 1.145 0.25420
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.9888 on 137 degrees of freedom
## Multiple R-squared: 0.217, Adjusted R-squared: 0.1998
## F-statistic: 12.65 on 3 and 137 DF, p-value: 2.372e-07
##
##
## Value of test-statistic is: -5.9119 11.6835 17.4892
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47
ADF Aumenentada M2
##
## ###############################################
## # 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
## -10952.4 -2312.0 391.2 2974.1 10793.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 0.009111 0.001231 7.400 1.18e-11 ***
## z.diff.lag -0.204828 0.085161 -2.405 0.0175 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 4018 on 139 degrees of freedom
## Multiple R-squared: 0.2921, Adjusted R-squared: 0.282
## F-statistic: 28.68 on 2 and 139 DF, p-value: 3.728e-11
##
##
## Value of test-statistic is: 7.3997
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada M2 con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -6265.1 -2151.6 -129.1 1766.5 7539.8
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 823.273347 992.020026 0.830 0.408
## z.lag.1 0.001728 0.002624 0.659 0.512
## z.diff.lag1 -0.095112 0.073251 -1.298 0.197
## z.diff.lag2 -0.069318 0.072805 -0.952 0.343
## z.diff.lag3 0.077352 0.072828 1.062 0.290
## z.diff.lag4 0.044745 0.072734 0.615 0.540
## z.diff.lag5 0.049448 0.072530 0.682 0.497
## z.diff.lag6 0.011246 0.071949 0.156 0.876
## z.diff.lag7 -0.088282 0.071979 -1.227 0.222
## z.diff.lag8 0.090963 0.072347 1.257 0.211
## z.diff.lag9 -0.051624 0.072680 -0.710 0.479
## z.diff.lag10 -0.083656 0.072511 -1.154 0.251
## z.diff.lag11 -0.072043 0.073684 -0.978 0.330
## z.diff.lag12 0.665543 0.074440 8.941 7.15e-15 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 2898 on 116 degrees of freedom
## Multiple R-squared: 0.5582, Adjusted R-squared: 0.5087
## F-statistic: 11.28 on 13 and 116 DF, p-value: 2.69e-15
##
##
## Value of test-statistic is: 0.6585 1.4815
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada M2 con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -10256.3 -2668.6 214.8 2231.0 9666.0
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 1.048e+04 3.489e+03 3.003 0.00318 **
## z.lag.1 -7.197e-02 2.996e-02 -2.402 0.01764 *
## tt 1.973e+02 7.815e+01 2.525 0.01271 *
## z.diff.lag -1.997e-01 8.406e-02 -2.375 0.01891 *
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3900 on 137 degrees of freedom
## Multiple R-squared: 0.09576, Adjusted R-squared: 0.07596
## F-statistic: 4.836 on 3 and 137 DF, p-value: 0.003132
##
##
## Value of test-statistic is: -2.4022 22.8863 3.7466
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47
ADF Aumenentada TI_pm
##
## ###############################################
## # 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
## -1.44347 -0.04613 0.03204 0.07538 0.68081
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 -0.007538 0.003948 -1.909 0.0583 .
## z.diff.lag 0.416183 0.075822 5.489 1.86e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.2525 on 139 degrees of freedom
## Multiple R-squared: 0.2122, Adjusted R-squared: 0.2009
## F-statistic: 18.72 on 2 and 139 DF, p-value: 6.31e-08
##
##
## Value of test-statistic is: -1.9095
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada TI_pm con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.95702 -0.08321 -0.00591 0.08685 0.80261
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.35603 0.08262 4.309 3.45e-05 ***
## z.lag.1 -0.07629 0.01673 -4.561 1.27e-05 ***
## z.diff.lag1 0.08568 0.08685 0.987 0.325931
## z.diff.lag2 0.34681 0.08573 4.045 9.45e-05 ***
## z.diff.lag3 0.35892 0.09102 3.943 0.000138 ***
## z.diff.lag4 -0.02986 0.09531 -0.313 0.754619
## z.diff.lag5 -0.13282 0.09534 -1.393 0.166228
## z.diff.lag6 0.13364 0.09610 1.391 0.167031
## z.diff.lag7 0.05428 0.09633 0.563 0.574241
## z.diff.lag8 0.03948 0.09487 0.416 0.678056
## z.diff.lag9 -0.15234 0.09422 -1.617 0.108599
## z.diff.lag10 -0.06608 0.09036 -0.731 0.466107
## z.diff.lag11 0.14202 0.08444 1.682 0.095276 .
## z.diff.lag12 0.11445 0.08494 1.347 0.180479
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.209 on 116 degrees of freedom
## Multiple R-squared: 0.5278, Adjusted R-squared: 0.4749
## F-statistic: 9.973 on 13 and 116 DF, p-value: 9.553e-14
##
##
## Value of test-statistic is: -4.5607 10.5616
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada TI_pm con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -1.38757 -0.04680 -0.01284 0.14014 0.72289
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0750390 0.0786461 0.954 0.3417
## z.lag.1 -0.0259852 0.0112411 -2.312 0.0223 *
## tt 0.0004635 0.0005360 0.865 0.3887
## z.diff.lag 0.4066580 0.0759151 5.357 3.49e-07 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.25 on 137 degrees of freedom
## Multiple R-squared: 0.2238, Adjusted R-squared: 0.2068
## F-statistic: 13.17 on 3 and 137 DF, p-value: 1.322e-07
##
##
## Value of test-statistic is: -2.3116 2.8216 3.6382
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47
ADF Aumenentada COLCAP
##
## ###############################################
## # 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
## -188.94 -29.55 4.81 38.92 101.21
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## z.lag.1 0.001184 0.002965 0.399 0.690278
## z.diff.lag 0.301252 0.081164 3.712 0.000297 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 51.58 on 139 degrees of freedom
## Multiple R-squared: 0.09355, Adjusted R-squared: 0.08051
## F-statistic: 7.173 on 2 and 139 DF, p-value: 0.001085
##
##
## Value of test-statistic is: 0.3993
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau1 -2.58 -1.95 -1.62
ADF Aumenentada COLCAP con termino constante o con deriva
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression drift
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -110.58 -34.56 3.39 30.73 106.27
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 94.367810 29.599862 3.188 0.00184 **
## z.lag.1 -0.061219 0.019775 -3.096 0.00246 **
## z.diff.lag1 0.425457 0.089425 4.758 5.69e-06 ***
## z.diff.lag2 -0.128571 0.096998 -1.326 0.18761
## z.diff.lag3 0.163791 0.098147 1.669 0.09785 .
## z.diff.lag4 -0.266627 0.095869 -2.781 0.00632 **
## z.diff.lag5 0.221873 0.098217 2.259 0.02575 *
## z.diff.lag6 -0.096558 0.100209 -0.964 0.33727
## z.diff.lag7 0.024254 0.100376 0.242 0.80949
## z.diff.lag8 0.107855 0.099052 1.089 0.27847
## z.diff.lag9 0.008525 0.095439 0.089 0.92898
## z.diff.lag10 0.056697 0.093760 0.605 0.54656
## z.diff.lag11 0.016789 0.092081 0.182 0.85564
## z.diff.lag12 0.051759 0.085658 0.604 0.54686
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 46.56 on 116 degrees of freedom
## Multiple R-squared: 0.2823, Adjusted R-squared: 0.2019
## F-statistic: 3.51 on 13 and 116 DF, p-value: 0.0001268
##
##
## Value of test-statistic is: -3.0958 5.1714
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau2 -3.46 -2.88 -2.57
## phi1 6.52 4.63 3.81
ADF Aumenentada COLCAP con tendencia
##
## ###############################################
## # Augmented Dickey-Fuller Test Unit Root Test #
## ###############################################
##
## Test regression trend
##
##
## Call:
## lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
##
## Residuals:
## Min 1Q Median 3Q Max
## -208.311 -31.374 4.086 35.345 104.891
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 56.089040 24.250267 2.313 0.022216 *
## z.lag.1 -0.035947 0.017183 -2.092 0.038290 *
## tt -0.007853 0.110406 -0.071 0.943401
## z.diff.lag 0.304889 0.080626 3.782 0.000232 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 50.97 on 137 degrees of freedom
## Multiple R-squared: 0.1203, Adjusted R-squared: 0.101
## F-statistic: 6.243 on 3 and 137 DF, p-value: 0.0005275
##
##
## Value of test-statistic is: -2.0919 1.8377 2.4295
##
## Critical values for test statistics:
## 1pct 5pct 10pct
## tau3 -3.99 -3.43 -3.13
## phi2 6.22 4.75 4.07
## phi3 8.43 6.49 5.47