ur.ers {urca} | R Documentation |
Performs the Elliott, Rothenberg & Stock unit root test.
ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"), lag.max = 4)
y |
Vector to be tested for a unit root. |
type |
Test type, either "DF-GLS" (default), or "P-test" . |
model |
The deterministic model used for detrending. |
lag.max |
The maximum numbers of lags used for testing of a
decent lag truncation for the "P-test" (BIC used),
or the maximum number of lagged differences to be included in the test
regression for "DF-GLS" . |
To improve the power of the unit root test, Elliot, Rothenberg & Stock
proposed a local to unity detrending of the time series. ERS developed
a feasible point optimal test, "P-test"
, which takes serial
correlation of the error term into account. The second test type is
the "DF-GLS"
test, which is an ADF-type test applied to the
detrended data without intercept. Critical values for this test are
taken from MacKinnon in case of model="constant"
and else from
Table 1 of Elliot, Rothenberg & Stock.
An object of class "ur.ers"
.
Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, Vol. 64, No. 4, 813–836.
MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267–276.
Download possible at: http://www.econ.ucsd.edu/papers/files/90-4.pdf.
data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4) summary(ers.gnp)