Description Methods Author(s) See Also Examples

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 \& 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 \& Ouliaris test.

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

- x = "ur.sp", y = "missing"
Diagram of fit of the Schmidt \& 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 \& 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`

.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 | ```
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)
``` |

```
```

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

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