hegyrecst-class            package:uroot            R Documentation

"_h_e_g_y_r_e_c_s_t" _C_l_a_s_s

_D_e_s_c_r_i_p_t_i_o_n:

     This class contains information from the Augmented Dickey-Fuller
     unit root test computed recursively along subsamples of the
     original data.

_S_l_o_t_s:

     '_w_t_s': Object of class '"ts"': Original time series.

     '_t_y_p_e': Object of class '"character"': how the subsamples are
          defined.

     '_n_s_u_b': Object of class '"numeric"': the number of observations in
          each subsample.

     '_i_t_s_d': Object of class '"numeric"': Deterministic regressors
          included in the auxiliar regression, namely intercept, trend,
          and/or seasonal dummies.

     '_r_e_g_v_a_r': Object of class '"numeric"': Regressor variables. Not
          considered in this procedure.

     '_s_e_l_e_c_t_l_a_g_s': Object of class '"list"': Method for selecting lags
          and the maximum order considered.

     '_r_e_c_s_t_a_t_s': Object of class '"matrix"': statistics in each
          subsample.

     '_e_l_a_p_s': Object of class '"list"': elapsed time during
          computation.

_M_e_t_h_o_d_s:

     _p_l_o_t. 'signature(x = "hegyrecst", y = "missing").' Plot the HEGY
          statistics along the subsamples.

     _s_h_o_w. Show the HEGY statistics in each subsample.

_A_u_t_h_o_r(_s):

     Javier Lpez-de-Lacalle javlacalle@yahoo.es and Ignacio
     Daz-Emparanza Ignacio.Diaz-Emparanza@ehu.es

_R_e_f_e_r_e_n_c_e_s:

     D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics
     for autoregressive time series with a unit root. _Econometrica_,
     *49*, 1057-1071.

     W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh
     Wiley, New York.

_S_e_e _A_l_s_o:

     'HEGY.rectest'.

