Description Slots Extends Methods Author(s) References See Also

This class contains the relevant information by applying the Phillips \& Ouliaris cointegration test to a data matrix.

`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’.

Class `urca`

, directly.

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'.

Bernhard Pfaff

Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of
Residual Based Tests for Cointegration, *Econometrica*,
**Vol. 58, No. 1**, 165–193.

`ca.po`

and `urca-class`

.

urca documentation built on May 29, 2017, 3:27 p.m.

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