I am having trouble with interpreting the Dickey-Fuller test on a time series using the ur.df() function in the urca package. I already read this thread but still need some advise.
What I understand is "tau3" is the gamma=0 null hypothesis. The first test statistic = -23.2774 is within the region of rejecting the null, implying a unit root is not present. Please correct me if I am wrong.
I also know (from the above mentioned post) failing to reject phi3 implies two things :
- gamma = 0 (unit root) AND
- there is no time trend term.
Failing to reject phi2 implies:
- gamma = 0 AND
- no time trend term AND
- no drift term.
I am not sure what are the 180.613 270.9181 values. Are they test statistics for phi2 and phi3 respectively? and if these large values indicating something? If above values are t-statistics of phi2 and phi3 then I fail to reject the h0 concluding a unit root,no trend no drift. Isn't it contradictory with tau3 value that implies no unit root?