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)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.