ca.po-class {urca} | R Documentation

## Representation of class ca.po

### Description

This class contains the relevant information by applying the Phillips & Ouliaris cointegration test to a data matrix.

### Slots

`z`:
  Object of class `"ANY"`: A data matrix, or an object that can be coerced to it.
`type`:
  Object of class `"character"`: The type of the test, either the `"Pu"`-test or the normalisation invariant `"Pz"`-test.
`model`:
  Object of class `"character"`: Determines how the series should be detrended.
`lag`:
  Object of class `"integer"`: The lags used for variance/covariance correction.
`cval`:
  Object of class `"matrix"`: The critical values of the test at the 1%, 5% and 10% level of significance.
`res`:
  Object of class `"matrix"`: The residuals of the the cointegration regression(s).
`teststat`:
  Object of class `"numeric"`: The value of the test statistic.
`testreg`:
  Object of class `"ANY"`: The summary output of the cointegration regression(s).
`test.name`:
  Object of class `"character"`: The name of the test, i.e. `Phillips & Ouliaris'.

### Extends

Class `urca`, directly.

### Methods

Type `showMethods(classes="ca.po")` 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(s) added.
`plot`:
  Residual plot(s) and their acfs' and pacfs'.

### Author(s)

Bernhard Pfaff

### References

Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.

### See Also

`ca.po` and `urca-class`.

[Package urca version 1.2-3 Index]