ur.sp | R Documentation |

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

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

`y` |
Vector to be tested for a unit root. |

`type` |
Test type, either |

`pol.deg` |
Degree of polynomial in the test regression. |

`signif` |
Significance level for the critical value of the test statistic. |

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.

An object of class `"ur.sp"`

.

Bernhard Pfaff

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)'.

`ur.sp-class`

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

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