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
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'.Class urca
, directly.
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'.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)'.
ur.pp
and urca-class
Bernhard Pfaff
Useful links