ur.kpss-class function

Representation of class ur.kpss

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

Slots

  • 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'.

Extends

Class urca, directly.

Methods

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'.

References

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)'.

See Also

ur.kpss and urca-class.

Author(s)

Bernhard Pfaff

  • Maintainer: Bernhard Pfaff
  • License: GPL (>= 2)
  • Last published: 2024-05-27

Useful links