| ur.sp-class {urca} | R Documentation |
This class contains the relevant information by applying the Schmidt & Phillips unit root test to a time series.
y:"vector": The time series to
be tested.type:"character": Test type,
"rho" or "tau" test statistic.polynomial:"integer":
Deterministic trend specificationsignif:"numeric": Critical values.teststat:"numeric": Value of
the test statistic.cval:"numeric": The critical
values, depending on "signif", "polynomial" and the
sample size.res:"vector": The residuals of
the test regression.testreg:"ANY": The summary
output of the test regression.test.name:"character": The
name of the test, i.e. `"Schmidt & Phillips'.
Class `"urca', directly.
Type showMethods(classes="ur.sp") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:summary:plot:Bernhard Pfaff
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.
Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.sp and urca-class.