Representation of class ur.kpss
This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt and Shin unit root test to a time series. class
latin1
y
:: Object of class "vector"
: The time series to be tested.type
:: Object of class "character"
: Test type, "mu"
or "tau"
depending on the deterministic part.lag
:: Object of class "integer"
: Number of lags for error term correction.cval
:: Object of class "matrix"
: Critical value of test.teststat
:: Object of class "numeric"
: Value of test statistic.res
:: Object of class "vector"
: Residuals of test regression.test.name
:: Object of class "character"
: The name of the test, i.e. `KPSS'.Class urca
, directly.
Type showMethods(classes="ur.kpss")
at the R prompt for a complete list of methods which are available for this class.
Useful methods include
show
:: test statistic.summary
:: like show, but critical values, lags and test type added.plot
:: Residual plot and their acfs' and pacfs'.Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (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.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.kpss
and urca-class
.
Bernhard Pfaff
Useful links