adfstat-class: "adfstat" 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.

Slots

wts:

Object of class "ts": Original time series.

itsd:

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

regvar:

Object of class "maybeRegvar": Regressor variables included in auxiliar regression.

selectlags:

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

regvarcoefs:

Object of class "maybeRegvar": Regressor variables estimates.

lagsorder:

Object of class "maybeLags": Selected lags order.

lagcoefs:

Object of class "maybeLags": Lags estimates.

res:

Object of class "numeric": Residuals from the auxiliar regression.

lmadf:

Object of class "lm": Auxiliar regression fitted.

stat:

Object of class "matrix": ADF statistic.

Methods

show.

Show the relevant information from the ADF test.

summary.

Summarize ADF test regression.

urt.xtable.

Summarize the main information from the test and convert it in an xtable object, which can be printed as a LaTeX or HTML table.

save.xtable.

Save the information in the xtable object to a LaTeX or HTML file.

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.test.

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