ur.sp: Schmidt & Phillips Unit Root Test

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/ur-sp.R

Description

Performs the Schmidt \& Phillips unit root test, where under the Null and Alternative Hypothesis the coefficients of the deterministic variables are included.

Usage

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ur.sp(y, type = c("tau", "rho"), pol.deg = c(1, 2, 3, 4),
      signif = c(0.01, 0.05, 0.1))

Arguments

y

Vector to be tested for a unit root.

type

Test type, either tau or rho test.

pol.deg

Degree of polynomial in the test regression.

signif

Significance level for the critical value of the test statistic.

Details

Under the Null and the Alternative hypothesis the coefficients of the deterministic part of the test regression are included. Two test types are available: the rho-test and the tau-test. Both test are extracted from the LM principle.

Value

An object of class "ur.sp".

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: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.sp-class

Examples

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data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
summary(sp.gnp)

Example output

################################### 
# Schmidt-Phillips Unit Root Test # 
################################### 


Call:
lm(formula = sp.data)

Residuals:
    Min      1Q  Median      3Q     Max 
-54.683  -8.176   2.394  11.843  27.884 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept) -1.80008    4.18871  -0.430    0.669    
y.lagged     0.98538    0.03301  29.849   <2e-16 ***
trend.exp1   0.50203    0.32292   1.555    0.125    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 15.75 on 58 degrees of freedom
Multiple R-squared:  0.9926,	Adjusted R-squared:  0.9924 
F-statistic:  3896 on 2 and 58 DF,  p-value: < 2.2e-16


Value of test-statistic is: -1.3732 
Critical value for a significance level of 0.01 
is: -3.63 

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

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