plot-methods | R Documentation |

Plot methods for objects belonging to classes set in package
`urca`

. Depending on the unit root/cointegration test a
suitable graphical presentation is selected.

- x = "ur.ers", y = "missing"
Diagram of fit of the Elliott, Rothenberg and Stock unit root test of type

`"DF-GLS"`

with residual plot and their acfs' and pacfs'.- x = "ur.kpss", y = "missing"
Residual plot and their acfs' and pacfs' of the KPSS test.

- x = "ca.jo", y = "missing"
Time series plots and associated cointegration relations for the Johansen procedure.

- x = "ca.po", y = "missing"
Residual plot and their acfs' and pacfs' of the cointegration regression(s) for the Phillips and Ouliaris test.

- x = "ur.pp", y = "missing"
Diagram of fit of the Phillips and Perron unit root test, residual plot and their acfs' and pacfs'.

- x = "ur.sp", y = "missing"
Diagram of fit of the Schmidt and Phillips unit root test, residual plot and their acfs' and pacfs'.

- x = "ur.za", y = "missing"
Plot of recursive t-statistics as outcome of Zivot and Andrews unit root test.

Bernhard Pfaff

`ur.ers-class`

, `ur.kpss-class`

,
`ca.jo-class`

, `ca.po-class`

,
`ur.pp-class`

, `ur.sp-class`

and
`ur.za-class`

.

data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) gnp.l <- log(gnp) # ers.gnp <- ur.ers(gnp, type="DF-GLS", model="trend", lag.max=4) plot(ers.gnp) # kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short") plot(kpss.gnp) # pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short") plot(pp.gnp) # sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01) plot(sp.gnp) # za.gnp <- ur.za(gnp, model="both", lag=2) plot(za.gnp) # data(denmark) sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")] sjd.vecm <- ca.jo(sjd, ecdet="const", type="eigen", K=2, season=4) plot(sjd.vecm)

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