adfrecst-class: "adfrecst" Class

In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description

This class contains information from the Augmented Dickey-Fuller unit root test computed recursively along subsamples of the original data.

Slots

wts:

Object of class "ts": Original time series.

type:

Object of class "character": how the subsamples are defined.

nsub:

Object of class "numeric": the number of observations in each subsample.

itsd:

Object of class "numeric": Deterministic regressors included in the auxiliar regression, namely intercept, trend, and/or seasonal dummies.

regvar:

Object of class "numeric": Regressor variables. Not considered in this procedure.

selectlags:

Object of class "list": Method for selecting lags and the maximum order considered.

recstats:

Object of class "matrix": statistics in each subsample.

elaps:

Object of class "list": elapsed time during computation.

Methods

plot.

signature(x = "adfrecst", y = "missing"). Plot the ADF statistics along the subsamples.

show.

Show the ADF statistics in each subsample.

Author(s)

Javier Lopez-de-Lacalle [e-mail] and Ignacio Diaz-Emparanza [e-mail]

References

D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1071.

W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh Wiley, New York.

See Also

ADF.rectest.

uroot documentation built on May 2, 2019, 6:49 p.m.