chrecst-class: "chrecst" Class

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

Description

This class contains information from the Canova-Hansen 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.

frec

a vector indicating the frequencies to analyse.

f0

a 0-1 (No-Yes) vector of length one indicating wether a first lag of the dependent variable is included or not in the auxiliar regression. See details.

DetTr

a logical argument. If TRUE a linear trend is included in the auxiliar regression.

ltrunc

lag truncation parameter. By default, 3*sqrt(length(wts))/13

recstats:

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

elaps:

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

Methods

plot.

signature(x = "chrecst", y = "missing"): Plot the CH statistics along the subsamples.

show.

Show the CH statistics in each subsample.

Author(s)

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

References

F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13, 237-252.

See Also

CH.rectest.

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