Last data update: 2014.03.03
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R: Representation of class ur.pp
ur.pp-class | R Documentation |
Representation of class ur.pp
Description
This class contains the relevant information by applying the Phillips
& Perron unit root test to a time series.
Slots
y :Object of class "vector" : The time series to
be tested.
type :Object of class "character" : Test type of
Z statistic, either "Z-alpha" or "Z-tau" .
model :Object of class "character" : The type of
the deterministic part, either "constant" or
"trend" . The latter includes a constant term, too.
lag :Object of class "integer" : Number of lags
for error correction.
cval :Object of class "matrix" : Critical values
at the 1%, 5% and 10% level of significance.
teststat :Object of class "numeric" : Value of
the test statistic.
testreg :Object of class "ANY" : The summary
output of the test regression.
auxstat :Object of class "matrix" : Test
statistic(s) of the deterministic part.
res :Object of class "vector" : The residuals of
the test regression.
test.name :Object of class "character" : The
name of the test, i.e ‘Phillips-Perron’.
Extends
Class urca , directly.
Methods
Type showMethods(classes="ur.pp") 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 added.
plot :Diagram of fit plot, residual plot and their
acfs' and pacfs'.
Author(s)
Bernhard Pfaff
References
Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in
time series regression, Biometrika, 75(2), 335–346.
MacKinnon, J.G. (1991), Critical Values for Cointegration Tests,
Long-Run Economic Relationships, eds. R.F. Engle and
C.W.J. Granger, London, Oxford, 267–276.
Download possible at: http://cowles.econ.yale.edu/, see rubric
'Discussion Papers (CFDPs)' and
http://www.econ.ucsd.edu/papers/files/90-4.pdf.
See Also
ur.pp and urca-class
Results
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