ur.sp-class {urca} | R Documentation

## Representation of class ur.sp

### Description

This class contains the relevant information by applying the Schmidt & Phillips 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, `"rho"` or `"tau"` test statistic.
`polynomial`:
  Object of class `"integer"`: Deterministic trend specification
`signif`:
  Object of class `"numeric"`: Critical values.
`teststat`:
  Object of class `"numeric"`: Value of the test statistic.
`cval`:
  Object of class `"numeric"`: The critical values, depending on `"signif"`, `"polynomial"` and the sample size.
`res`:
  Object of class `"vector"`: The residuals of the test regression.
`testreg`:
  Object of class `"ANY"`: The summary output of the test regression.
`test.name`:
  Object of class `"character"`: The name of the test, i.e. `"Schmidt & Phillips'.

### Extends

Class `urca`, directly.

### Methods

Type `showMethods(classes="ur.sp")` 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 value and summary of test regression added.
`plot`:
  Diagram of fit plot, residual plot and their acfs' and pacfs'.

### Author(s)

Bernhard Pfaff

### References

Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54(3), 257–287.

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

### See Also

`ur.sp` and `urca-class`.

[Package urca version 1.2-3 Index]