| hegystat-class {uroot} | R Documentation |
This class contains information from the Hylleberg-Engle-Granger-Yoo test.
wts:"ts": Original time series.itsd:"numeric": Deterministic regressors included in the
auxiliar regression, namely intercept, trend, and/or seasonal dummies.regvar:"maybeRegvar": Regressor variables included in auxiliar
regression.hegyreg:"matrix": HEGY regressor variable, i.e. first order lag of
the original data.selectlags:"list": Method for selecting lags and the maximum
order considered.regvarcoefs:"maybeRegvar": Regressor variables estimates.hegycoefs:"maybeRegvar": Hegy regressors estimates.lagsorder:"maybeLags": Selected lags order.lagcoefs:"maybeLags": Lags estimates.res:"numeric": Residuals from the auxiliar regression.lmhegy:"lm": Auxiliar regression fitted.stats:"matrix": HEGY statistics.signature(object = "hegystat"). Show the relevant information from the
HEGY test.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.
J. Beaulieu and J. Miron (1993), Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 54, 305-328.
P.H. Franses (1990), Testing for seasonal unit roots in monthly data, Technical Report 9032, Econometric Institute.