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Different results in the unit root test. Why?

Situation:
I had tired a 1000-data generated by random error(i.i.d.), then I sub it into different unit root tests. I got different results among the tests. The following are the test statistics I got:

For R project:
adf.test @ tseries ~ -10.2214 (lag = 9)
ur.df @ urca ~ -21.8978
ur.sp @ urca ~ -27.68
pp.test @ tseries ~ -972.3343 (truncation lag =7)
ur.pp @ urca ~ -973.2409
ur.kpss @ urca ~ 0.1867
kpss.test @ tseries ~ 0.1867 (truncation lag =7)

For MATLAB:
(adf test) ~ -0.43979

Questions:
1. Tests under same test name, say Phillips-perron test (pp.test & ur.pp), they have different test statistics. Why?
2. Don't the Phillips-perron test based on the Dickey-Fuller distribution table? How the value being so negative (-9xx)?
3. What is truncation lag? Is it the same with lag terms?

By angchanyy at 2007-10-24 15:27 | LtU Forum | previous forum topic | next forum topic | other blogs | 6532 reads

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Accidental post?

This is SO not related to anything we normally discuss here, I can only wonder if you accidentally posted to the wrong forum.

Since I can't interpret it as any topic I'm familiar with, I can't even suggest where you should go look instead.

Safe to say though, it is not here at Lambda the Ultimate.

By Marc Hamann at Wed, 2007-10-24 15:37 |

Anthropologist

Or perhaps he's an Anthropologist Errant, trying to see how various communities react to various kinds of off-topic posts. :-)

By John Stracke at Wed, 2007-10-24 16:10 |