ur.sp-class function

Representation of class ur.sp

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

Slots

  • 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 specification
  • signif:: 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'.

Extends

Class urca, directly.

Methods

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'.

References

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)'.

See Also

ur.sp and urca-class.

Author(s)

Bernhard Pfaff

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

Useful links