hegystat-class             package:uroot             R Documentation

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

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

     This class contains information from the
     Hylleberg-Engle-Granger-Yoo test.

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

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

     '_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 '"maybeRegvar"': Regressor variables
          included in auxiliar regression.

     '_h_e_g_y_r_e_g': Object of class '"matrix"': HEGY regressor variable,
          i.e. first order lag of the original data.

     '_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_g_v_a_r_c_o_e_f_s': Object of class '"maybeRegvar"': Regressor
          variables estimates.

     '_h_e_g_y_c_o_e_f_s': Object of class '"maybeRegvar"': Hegy regressors
          estimates.

     '_l_a_g_s_o_r_d_e_r': Object of class '"maybeLags"': Selected lags order.

     '_l_a_g_c_o_e_f_s': Object of class '"maybeLags"': Lags estimates.

     '_r_e_s': Object of class '"numeric"': Residuals from the auxiliar
          regression.

     '_l_m_h_e_g_y': Object of class '"lm"': Auxiliar regression fitted.

     '_s_t_a_t_s': Object of class '"matrix"': HEGY statistics.

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

     _s_h_o_w 'signature(object = "hegystat")'. Show the relevant
          information from the HEGY test.

     _s_u_m_m_a_r_y. Summarize HEGY test regression.

     _u_r_t._x_t_a_b_l_e. Summarize the main information from the test and
          convert it in an xtable object, which can be printed as a
          LaTeX or HTML table.

     _s_a_v_e._x_t_a_b_l_e. Save the information in the xtable object to a LaTeX
          or HTML file.

_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:

     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.

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

     'HEGY.test'.

