This class contains the relevant information by applying the Zivot & Andrews
unit root test to a time series.
Slots
y:
Object of class "vector": The time series to
be tested.
model:
Object of class "character": The model
to be used, i.e. intercept, trend or both
lag:
Object of class "integer": The highest
number of lags to include in the test regression.
teststat:
Object of class "numeric": The t-statistic.
cval:
Object of class "vector": Critical values
at the 1%, 5% and 10% level of significance.
bpoint:
Object of class "integer": The
potential break point.
tstats:
Object of class "vector" The
t-statistics of the rolling regression.
res:
Object of class "vector" The residuals of
the test regression.
test.name:
Object of class "character" The name
of the test, i.e. ‘Zivot & Andrews’.
testreg:
Object of class "ANY" The summary
output of the test regression.
Extends
Class urca, directly.
Methods
Type showMethods(classes="ur.za") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:
test statistic and critical values.
summary:
like show, but summary of test regression
added.
plot:
plot of recursive t-statistics.
Author(s)
Bernhard Pfaff
References
Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the
Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,
Journal of Business & Economic Statistics, 10(3),
251–270.