Critical values for Schmidt and Phillips Unit Root Test
Critical values for Schmidt and Phillips Unit Root Test
This function is an internal function and is called by ur.sp. It computes the critical value of the Schmidt and Phillips test, given a level of significance, the polynomial degree of the test regression, the test type and the sample size.
latin1
.spcv(obs, type, pol.deg, signif)
Arguments
obs: The sample size.
type: The test type.
pol.deg: The polynomial degree.
signif: The significance level.
Returns
The critical value of the test.
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.