plot-methods: Methods for Function plot in Package urca

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

Methods for Function plot in Package urca

Description

Plot methods for objects belonging to classes set in package urca. Depending on the unit root/cointegration test a suitable graphical presentation is selected.

Methods

x = "ur.ers", y = "missing"

Diagram of fit of the Elliott, Rothenberg and Stock unit root test of type "DF-GLS" with residual plot and their acfs' and pacfs'.

x = "ur.kpss", y = "missing"

Residual plot and their acfs' and pacfs' of the KPSS test.

x = "ca.jo", y = "missing"

Time series plots and associated cointegration relations for the Johansen procedure.

x = "ca.po", y = "missing"

Residual plot and their acfs' and pacfs' of the cointegration regression(s) for the Phillips and Ouliaris test.

x = "ur.pp", y = "missing"

Diagram of fit of the Phillips and Perron unit root test, residual plot and their acfs' and pacfs'.

x = "ur.sp", y = "missing"

Diagram of fit of the Schmidt and Phillips unit root test, residual plot and their acfs' and pacfs'.

x = "ur.za", y = "missing"

Plot of recursive t-statistics as outcome of Zivot and Andrews unit root test.

Author(s)

Bernhard Pfaff

See Also

ur.ers-class, ur.kpss-class, ca.jo-class, ca.po-class, ur.pp-class, ur.sp-class and ur.za-class.

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
#
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="trend", lag.max=4)
plot(ers.gnp)
#
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
plot(kpss.gnp)
#
pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
plot(pp.gnp)
#
sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
plot(sp.gnp)
#
za.gnp <- ur.za(gnp, model="both", lag=2)
plot(za.gnp)
#
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet="const", type="eigen", K=2, season=4)
plot(sjd.vecm)

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