ur.kpss-class {urca} | R Documentation

## Representation of class ur.kpss

### Description

This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt & Shin unit root test to a time series.

### Slots

`y`:
  Object of class `"vector"`: The time series to be tested.
`type`:
  Object of class `"character"`: Test type, `"mu"` or `"tau"` depending on the deterministic part.
`lag`:
  Object of class `"integer"`: Number of lags for error term correction.
`cval`:
  Object of class `"matrix"`: Critical value of test.
`teststat`:
  Object of class `"numeric"`: Value of test statistic.
`res`:
  Object of class `"vector"`: Residuals of test regression.
`test.name`:
  Object of class `"character"`: The name of the test, i.e. `KPSS'.

### Extends

Class `urca`, directly.

### Methods

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`:
  test statistic.
`summary`:
  like show, but critical values, lags and test type added.
`plot`:
  Residual plot and their acfs' and pacfs'.

### Author(s)

Bernhard Pfaff

### References

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)'.

### See Also

`ur.kpss` and `urca-class`.

[Package urca version 1.2-3 Index]