ur.kpss-class | R Documentation |

This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt and Shin unit root test to a time series.

`y`

:Object of class

`"vector"`

: The time series to be tested.`type`

:Object of class

`"character"`

: Test type,`"mu"`

or`"tau"`

depending on the deterministic part.`lag`

:Object of class

`"integer"`

: Number of lags for error term correction.`cval`

:Object of class

`"matrix"`

: Critical value of test.`teststat`

:Object of class

`"numeric"`

: Value of test statistic.`res`

:Object of class

`"vector"`

: Residuals of test regression.`test.name`

:Object of class

`"character"`

: The name of the test,*i.e.*‘KPSS’.

Class `urca`

, directly.

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

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 values, lags and test type added.

`plot`

:Residual plot and their acfs' and pacfs'.

Bernhard Pfaff

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992),
Testing the Null Hypothesis of Stationarity Against the Alternative of
a Unit Root: How Sure Are We That Economic Time Series Have a Unit
Root?, *Journal of Econometrics*, **54**, 159–178.

Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

`ur.kpss`

and `urca-class`

.

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