Representation of class ur.sp
This class contains the relevant information by applying the Schmidt and Phillips 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, "rho"
or "tau"
test statistic.polynomial
:: Object of class "integer"
: Deterministic trend specificationsignif
:: Object of class "numeric"
: Critical values.teststat
:: Object of class "numeric"
: Value of the test statistic.cval
:: Object of class "numeric"
: The critical values, depending on "signif"
, "polynomial"
and the sample size.res
:: Object of class "vector"
: The residuals of the test regression.testreg
:: Object of class "ANY"
: The summary output of the test regression.test.name
:: Object of class "character"
: The name of the test, i.e. `"Schmidt and Phillips'.Class urca
, directly.
Type showMethods(classes="ur.sp")
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'.Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54(3) , 257--287.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.sp
and urca-class
.
Bernhard Pfaff
Useful links