ur.kpss-class: Representation of class ur.kpss

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

Representation of class ur.kpss

Description

This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt and Shin unit root test to a time series.

Slots

y:

Object of class "vector": The time series to be tested.

type:

Object of class "character": Test type, "mu" or "tau" depending on the deterministic part.

lag:

Object of class "integer": Number of lags for error term correction.

cval:

Object of class "matrix": Critical value of test.

teststat:

Object of class "numeric": Value of test statistic.

res:

Object of class "vector": Residuals of test regression.

test.name:

Object of class "character": The name of the test, i.e. ‘KPSS’.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.kpss") at the R prompt for a complete list of methods which are available for this class.

Useful methods include

show:

test statistic.

summary:

like show, but critical values, lags and test type added.

plot:

Residual plot and their acfs' and pacfs'.

Author(s)

Bernhard Pfaff

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.

Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.kpss and urca-class.

urca documentation built on Sept. 9, 2022, 3:06 p.m.