ur.ers-class {urca} | R Documentation |
This class contains the relevant information by applying the Elliott, Rothenberg & Stock unit root test.
y
:"vector"
: The time series to
be tested.yd
:"vector"
: The detrended
time series.type
:"character"
: Test type,
either "DF-GLS"
(default), or "P-test"
.model
:"character"
: The
deterministic model used for detrending, either intercept only, or
intercept with linear trend.lag
:"integer"
: The number of
lags used in the test/auxiliary regression.cval
:"matrix"
: The critical
values of the test at the 1%, 5% and 10% level of significance.teststat
:"numeric"
: The value
of the test statistic.testreg
:"ANY"
: The test
regression, only set for "DF-GLS"
.test.name
:"character"
: The
name of the test, i.e. `Elliott, Rothenberg & Stock'.
Class `urca'
, directly.
Type showMethods(classes="ur.ers")
at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show
:summary
:type="DF-GLS"
) and critical values added.plot
:type="DF-GLS"
.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.
ur.ers
and urca-class
.