ur.za-class function

Representation of class ur.za

This class contains the relevant information by applying the Zivot and Andrews unit root test to a time series. class

latin1

Slots

• y:: Object of class "vector": The time series to be tested.
• model:: Object of class "character": The model to be used, i.e. intercept, trend or both
• lag:: Object of class "integer": The highest number of lags to include in the test regression.
• teststat:: Object of class "numeric": The t-statistic.
• cval:: Object of class "vector": Critical values at the 1%, 5% and 10% level of significance.
• bpoint:: Object of class "integer": The potential break point.
• tstats:: Object of class "vector" The t-statistics of the rolling regression.
• res:: Object of class "vector" The residuals of the test regression.
• test.name:: Object of class "character" The name of the test, i.e. `Zivot and Andrews'.
• testreg:: Object of class "ANY" The summary output of the test regression.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.za") at the R prompt for a complete list of methods which are available for this class.

Useful methods include

• show:: test statistic and critical values.
• summary:: like show, but summary of test regression added.
• plot:: plot of recursive t-statistics.

References

Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10(3) , 251--270.

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

See Also

ur.za and urca-class.

Author(s)

Bernhard Pfaff