kpssrecst-class: "kpssrecst" Class

Description Slots Methods Author(s) References See Also

Description

This class contains information from the Kwiatkowski-Phillips-Schmidt-Shin 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.

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 = "kpssrecst", y = "missing").: Plot the KPSS statistics along the subsamples.

show

signature(object = "kpssrecst"): Show the KPSS statistics in each subsample.

Author(s)

Javier Lopez-de-Lacalle [email protected] and Ignacio Diaz-Emparanza [email protected]

References

D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin (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.

See Also

KPSS.rectest.


uroot documentation built on May 31, 2017, 5:01 a.m.

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