ur.sp: Schmidt and Phillips Unit Root Test

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

Schmidt and Phillips Unit Root Test

Description

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

Usage

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

See Also

ur.sp-class

Examples

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

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