summary-methods         package:urca         R Documentation(latin1)

_M_e_t_h_o_d_s _f_o_r _F_u_n_c_t_i_o_n _s_u_m_m_a_r_y _i_n _P_a_c_k_a_g_e _u_r_c_a

_D_e_s_c_r_i_p_t_i_o_n:

     Summarises the outcome of unit root/cointegration tests by
     creating a new object of class 'sumurca'.

_M_e_t_h_o_d_s:


     _o_b_j_e_c_t = "_u_r._d_f" The test type, its statistic, the test regression
          and the critical values for the Augmented Dickey and Fuller
          test are returned.  

     _o_b_j_e_c_t = "_u_r._e_r_s" The test type, its statistic and the critical
          values for the Elliott, Rothenberg & Stock test are returned.
          In case of test '"DF-GLS"' the summary output of the test
          regression is provided, too.

     _o_b_j_e_c_t = "_u_r._k_p_s_s" The test statistic, the critical value as well
          as the test type and the number of lags used for error
          correction for the Kwiatkowski _et al._ unit root test is
          returned.

     _o_b_j_e_c_t = "_c_a._j_o" The '"trace"' or '"eigen"' statistic, the
          critical values as well as the eigenvalues, eigenvectors and
          the loading matrix of the Johansen procedure are reported.

     _o_b_j_e_c_t = "_c_a_j_o._t_e_s_t" The test statistic of a restricted VAR with
          respect to *alpha* and/or *beta* with p-value and degrees of
          freedom is reported. Furthermore, the restriction
          matrix(ces), the eigenvalues and eigenvectors as well as the
          loading matrix are returned.  

     _o_b_j_e_c_t = "_c_a._p_o" The '"Pz"' or '"Pu"' statistic, the critical
          values as well as the summary output of the test regression
          for the Phillips & Ouliaris cointegration test.

     _o_b_j_e_c_t = "_u_r._p_p" The Z statistic, the critical values as well as
          the summary output of the test regression for the Phillips &
          Perron test, as well as the test statistics for the
          coefficients of the deterministic part is returned.

     _o_b_j_e_c_t = "_u_r._d_f" The relevant tau statistic, the critical values
          as well as the summary output of the test regression for the
          augmented Dickey-Fuller test is returned.

     _o_b_j_e_c_t = "_u_r._s_p" The test statistic, the critical value as well as
          the summary output of the test regression for the Schmidt &
          Phillips test is returned.

     _o_b_j_e_c_t = "_u_r._z_a" The test statistic, the critical values as well
          as the summary output of the test regression for the Zivot &
          Andrews test is returned.

_A_u_t_h_o_r(_s):

     Bernhard Pfaff

_S_e_e _A_l_s_o:

     'ur.ers-class', 'ur.kpss-class', 'ca.jo-class', 'cajo.test-class',
     'ca.po-class', 'ur.pp-class', 'ur.df-class', 'ur.sp-class',
     'ur.za-class' and 'sumurca-class'.

_E_x_a_m_p_l_e_s:

     data(nporg)
     gnp <- na.omit(nporg[, "gnp.r"])
     gnp.l <- log(gnp)
     #
     ers.gnp <- ur.ers(gnp, type="DF-GLS", model="trend", lag.max=4)
     summary(ers.gnp)
     #
     kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
     summary(kpss.gnp)
     #
     pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
     summary(pp.gnp)
     #
     df.gnp <- ur.df(gnp, type="trend", lags=4)
     summary(df.gnp)
     #
     sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
     summary(sp.gnp)
     #
     za.gnp <- ur.za(gnp, model="both", lag=2)
     summary(za.gnp)
     #
     data(finland)
     sjf <- finland
     sjf.vecm <- ca.jo(sjf, ecdet="none", type="eigen", K=2, season=4)
     summary(sjf.vecm)
     #
     HF0 <- matrix(c(-1, 1, 0, 0, 0, 0, 1, 0, 0, 0, 0, 1), c(4,3))
     summary(blrtest(sjf.vecm, H=HF0, r=3))

