| ur.kpss-class {urca} | R Documentation |
This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt & Shin unit root test to a time series.
y:"vector": The time series to
be tested.type:"character": Test type,
"mu" or "tau" depending on the deterministic part.lag:"integer": Number of lags
for error term correction.cval:"matrix": Critical value
of test.teststat:"numeric": Value of
test statistic.res:"vector": Residuals of
test regression.test.name:"character": The
name of the test, i.e. `KPSS'.
Class `urca', directly.
Type showMethods(classes="ur.kpss") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:summary:plot:Bernhard Pfaff
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.kpss and urca-class.