Last data update: 2014.03.03
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R: Representation of class ca.po
ca.po-class | R Documentation |
Representation of class ca.po
Description
This class contains the relevant information by applying the Phillips
& Ouliaris cointegration test to a data matrix.
Slots
z :Object of class "ANY" : A data matrix, or an
object that can be coerced to it.
type :Object of class "character" : The type of
the test, either the "Pu" -test or the normalisation
invariant "Pz" -test.
model :Object of class "character" : Determines
how the series should be detrended.
lag :Object of class "integer" : The lags used
for variance/covariance correction.
cval :Object of class "matrix" : The critical
values of the test at the 1%, 5% and 10% level of significance.
res :Object of class "matrix" : The residuals of
the the cointegration regression(s).
teststat :Object of class "numeric" : The value
of the test statistic.
testreg :Object of class "ANY" : The summary
output of the cointegration regression(s).
test.name :Object of class "character" : The
name of the test, i.e. ‘Phillips & Ouliaris’.
Extends
Class urca , directly.
Methods
Type showMethods(classes="ca.po") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show :test statistic.
summary :like show, but critical value and summary of
test regression(s) added.
plot :Residual plot(s) and their acfs' and pacfs'.
Author(s)
Bernhard Pfaff
References
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of
Residual Based Tests for Cointegration, Econometrica,
Vol. 58, No. 1, 165–193.
See Also
ca.po and urca-class .
Results
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