ur.ers-class | R Documentation |

This class contains the relevant information by applying the Elliott, Rothenberg and Stock unit root test.

`y`

:Object of class

`"vector"`

: The time series to be tested.`yd`

:Object of class

`"vector"`

: The detrended time series.`type`

:Object of class

`"character"`

: Test type, either`"DF-GLS"`

(default), or`"P-test"`

.`model`

:Object of class

`"character"`

: The deterministic model used for detrending, either intercept only, or intercept with linear trend.`lag`

:Object of class

`"integer"`

: The number of lags used in the test/auxiliary regression.`cval`

:Object of class

`"matrix"`

: The critical values of the test at the 1%, 5% and 10% level of significance.`teststat`

:Object of class

`"numeric"`

: The value of the test statistic.`testreg`

:Object of class

`"ANY"`

: The test regression, only set for`"DF-GLS"`

.`test.name`

:Object of class

`"character"`

: The name of the test,*i.e.*‘Elliott, Rothenberg and Stock’.

Class `urca`

, directly.

Type `showMethods(classes="ur.ers")`

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 test type, test regression (

`type="DF-GLS"`

) and critical values added.`plot`

:Diagram of fit, residual plot and their acfs' and pacfs' for

`type="DF-GLS"`

.

Bernhard Pfaff

Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests
for an Autoregressive Unit Root, *Econometrica*,
**Vol. 64, No. 4**, 813–836.

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.

`ur.ers`

and `urca-class`

.

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