| ur.pp-class {urca} | R Documentation |
This class contains the relevant information by applying the Phillips & Perron unit root test to a time series.
y:"vector": The time series to
be tested.type:"character": Test type of
Z statistic, either "Z-alpha" or "Z-tau".model:"character": The type of
the deterministic part, either "constant" or
"trend". The latter includes a constant term, too.lag:"integer": Number of lags
for error correction.cval:"matrix": Critical values
at the 1%, 5% and 10% level of significance.teststat:"numeric": Value of
the test statistic.testreg:"ANY": The summary
output of the test regression.auxstat:"matrix": Test
statistic(s) of the deterministic part.res:"vector": The residuals of
the test regression.test.name:"character": The
name of the test, i.e `Phillips-Perron'.
Class `urca', directly.
Type showMethods(classes="ur.pp") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:summary:plot:Bernhard Pfaff
Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335–346.
MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267–276.
Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.
ur.pp and urca-class