ur.sp-class: Representation of class ur.sp

In urca: Unit Root and Cointegration Tests for Time Series Data

Representation of class ur.sp

Description

This class contains the relevant information by applying the Schmidt and Phillips 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, "rho" or "tau" test statistic.

polynomial:

Object of class "integer": Deterministic trend specification

signif:

Object of class "numeric": Critical values.

teststat:

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

cval:

Object of class "numeric": The critical values, depending on "signif", "polynomial" and the sample size.

res:

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

testreg:

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

test.name:

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

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.sp") 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

Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54(3), 257–287.

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

See Also

ur.sp and urca-class.

urca documentation built on May 29, 2024, 5:36 a.m.