ur.df-class {urca} | R Documentation

## Representation of class ur.df

### Description

This class contains the relevant information by applying the augmented Dickey-Fuller 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 type of the deterministic part, either `"none"`, `"drift"` or `"trend"`. The latter includes a constant term, too.
`lags`:
  Object of class `"integer"`: Number of lags for error correction.
`cval`:
  Object of class `"matrix"`: Critical values at the 1%, 5% and 10% level of significance.
`teststat`:
  Object of class `"matrix"`: Value of the test statistic.
`testreg`:
  Object of class `"ANY"`: The summary output of the test 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 `Augmented-Dickey-Fuller Test'.

### Extends

Class `urca`, directly.

### Methods

Type `showMethods(classes="ur.df")` 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`:
  Residual plot, acfs' and pacfs'.

### Author(s)

Bernhard Pfaff

### References

Dickey, D. A. and Fuller, W. A. (1979), Distributions of the Estimators For Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 75, 427–431.

Dickey, D. A. and Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057–1072.

Hamilton (1994), Time Series Analysis, Princeton University Press.

### See Also

`ur.df` and `urca-class`

[Package urca version 1.2-3 Index]