ur.ers: Elliott, Rothenberg and Stock Unit Root Test

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

Elliott, Rothenberg and Stock Unit Root Test

Description

Performs the Elliott, Rothenberg and Stock unit root test.

Usage

ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
       lag.max = 4)

Arguments

y	Vector to be tested for a unit root.
type	Test type, either "DF-GLS" (default), or "P-test".
model	The deterministic model used for detrending.
lag.max	The maximum numbers of lags used for testing of a decent lag truncation for the "P-test" (BIC used), or the maximum number of lagged differences to be included in the test regression for "DF-GLS".

Details

To improve the power of the unit root test, Elliot, Rothenberg and Stock proposed a local to unity detrending of the time series. ERS developed a feasible point optimal test, "P-test", which takes serial correlation of the error term into account. The second test type is the "DF-GLS" test, which is an ADF-type test applied to the detrended data without intercept. Critical values for this test are taken from MacKinnon in case of model="constant" and else from Table 1 of Elliot, Rothenberg and Stock.

Value

An object of class ur.ers.

Author(s)

Bernhard Pfaff

References

Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, Vol. 64, No. 4, 813–836.

MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267–276.

See Also

ur.ers-class

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4)
summary(ers.gnp)

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