hegystat-class: "hegystat" Class

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

Description

This class contains information from the Hylleberg-Engle-Granger-Yoo 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.

hegyreg:

Object of class "matrix": HEGY regressor variable, i.e. first order lag of the original data.

selectlags:

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

regvarcoefs:

Object of class "maybeRegvar": Regressor variables estimates.

hegycoefs:

Object of class "maybeRegvar": Hegy regressors 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.

lmhegy:

Object of class "lm": Auxiliar regression fitted.

stats:

Object of class "matrix": HEGY statistics.

Methods

show

signature(object = "hegystat"). Show the relevant information from the HEGY test.

summary.

Summarize HEGY 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

S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.

J. Beaulieu and J. Miron (1993), Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 54, 305-328.

P.H. Franses (1990), Testing for seasonal unit roots in monthly data, Technical Report 9032, Econometric Institute.

See Also

HEGY.test.

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