# ur.sp: Schmidt & Phillips Unit Root Test In urca: Unit Root and Cointegration Tests for Time Series Data

## Description

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

## Usage

 ```1 2``` ```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"`.

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.

`ur.sp-class`

## Examples

 ```1 2 3 4``` ```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.