Representation of class ur.pp

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Description

This class contains the relevant information by applying the Phillips \& Perron unit root test to a time series.

Slots

y:

Object of class "vector": The time series to be tested.

type:

Object of class "character": Test type of Z statistic, either "Z-alpha" or "Z-tau".

model:

Object of class "character": The type of the deterministic part, either "constant" or "trend". The latter includes a constant term, too.

lag:

Object of class "integer": Number of lags for error correction.

cval:

Object of class "matrix": Critical values at the 1%, 5% and 10% level of significance.

teststat:

Object of class "numeric": Value of the test statistic.

testreg:

Object of class "ANY": The summary output of the test regression.

auxstat:

Object of class "matrix": Test statistic(s) of the deterministic part.

res:

Object of class "vector": The residuals of the test regression.

test.name:

Object of class "character": The name of the test, i.e ‘Phillips-Perron’.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.pp") 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 added.

plot:

Diagram of fit plot, residual plot and their acfs' and pacfs'.

Author(s)

Bernhard Pfaff

References

Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335–346.

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.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.

See Also

ur.pp and urca-class

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