| ur.za-class {urca} | R Documentation |
This class contains the relevant information by applying the Zivot & Andrews unit root test to a time series.
y:"vector": The time series to
be tested.model:"character": The model
to be used, i.e. intercept, trend or bothlag:"integer": The highest
number of lags to include in the test regression.teststat:"numeric": The t-statistic.cval:"vector": Critical values
at the 1%, 5% and 10% level of significance.bpoint:"integer": The
potential break point.tstats:"vector" The
t-statistics of the rolling regression.res:"vector" The residuals of
the test regression.test.name:"character" The name
of the test, i.e. `Zivot & Andrews'.testreg:"ANY" The summary
output of the test regression.
Class `urca', directly.
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:summary:plot:Bernhard Pfaff
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 & Economic Statistics, 10(3), 251–270.
Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.za and urca-class.