ur.pp-class function

Representation of class ur.pp

Representation of class ur.pp

This class contains the relevant information by applying the Phillips and Perron 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 of Z statistic, either "Z-alpha" or "Z-tau".
  • model:: Object of class "character": The type of the deterministic part, either "constant" or "trend". The latter includes a constant term, too.
  • lag:: Object of class "integer": Number of lags for error correction.
  • cval:: Object of class "matrix": Critical values at the 1%, 5% and 10% level of significance.
  • teststat:: Object of class "numeric": Value of the test statistic.
  • testreg:: Object of class "ANY": The summary output of the test regression.
  • auxstat:: Object of class "matrix": Test statistic(s) of the deterministic part.
  • res:: Object of class "vector": The residuals of the test regression.
  • test.name:: Object of class "character": The name of the test, i.e `Phillips-Perron'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.pp") 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 value and summary of test regression added.
  • plot:: Diagram of fit plot, residual plot and their acfs' and pacfs'.

References

Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2) , 335--346.

MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267--276.

Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.pp and urca-class

Author(s)

Bernhard Pfaff

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

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