ur.za-class {urca} | R Documentation

## Representation of class ur.za

### Description

This class contains the relevant information by applying the Zivot & Andrews unit root test to a time series.

### Slots

`y`:
  Object of class `"vector"`: The time series to be tested.
`model`:
  Object of class `"character"`: The model to be used, i.e. intercept, trend or both
`lag`:
  Object of class `"integer"`: The highest number of lags to include in the test regression.
`teststat`:
  Object of class `"numeric"`: The t-statistic.
`cval`:
  Object of class `"vector"`: Critical values at the 1%, 5% and 10% level of significance.
`bpoint`:
  Object of class `"integer"`: The potential break point.
`tstats`:
  Object of class `"vector"` The t-statistics of the rolling regression.
`res`:
  Object of class `"vector"` The residuals of the test regression.
`test.name`:
  Object of class `"character"` The name of the test, i.e. `Zivot & Andrews'.
`testreg`:
  Object of class `"ANY"` The summary output of the test regression.

### Extends

Class `urca`, directly.

### Methods

Type `showMethods(classes="ur.za")` at the R prompt for a complete list of methods which are available for this class.

Useful methods include

`show`:
  test statistic and critical values.
`summary`:
  like show, but summary of test regression added.
`plot`:
  plot of recursive t-statistics.

### Author(s)

Bernhard Pfaff

### References

Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business & Economic Statistics, 10(3), 251–270.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

### See Also

`ur.za` and `urca-class`.

[Package urca version 1.2-3 Index]