kpssrecst-class: "kpssrecst" Class
In uroot: Unit Root Tests and Graphics for Seasonal Time Series

Description Slots Methods Author(s) References See Also

This class contains information from the Kwiatkowski-Phillips-Schmidt-Shin unit root test computed recursively along subsamples of the original data.

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.

plot.: signature(x = "kpssrecst", y = "missing").: Plot the KPSS statistics along the subsamples.
show: signature(object = "kpssrecst"): Show the KPSS statistics in each subsample.

Javier Lopez-de-Lacalle javlacalle@yahoo.es and Ignacio Diaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es

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.

KPSS.rectest.

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