hegystat-class {uroot} | R Documentation |
This class contains information from the Hylleberg-Engle-Granger-Yoo test.
wts
:"ts"
: Original time series.itsd
:"numeric"
: Deterministic regressors included in the
auxiliar regression, namely intercept, trend, and/or seasonal dummies.regvar
:"maybeRegvar"
: Regressor variables included in auxiliar
regression.hegyreg
:"matrix"
: HEGY regressor variable, i.e. first order lag of
the original data.selectlags
:"list"
: Method for selecting lags and the maximum
order considered.regvarcoefs
:"maybeRegvar"
: Regressor variables estimates.hegycoefs
:"maybeRegvar"
: Hegy regressors estimates.lagsorder
:"maybeLags"
: Selected lags order.lagcoefs
:"maybeLags"
: Lags estimates.res
:"numeric"
: Residuals from the auxiliar regression.lmhegy
:"lm"
: Auxiliar regression fitted.stats
:"matrix"
: HEGY statistics.signature(object = "hegystat")
. Show the relevant information from the
HEGY test.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
S. Hylleberg, R. Engle, C. Granger and B. Yoo (1990), Seasonal integration and cointegration. Journal of Econometrics, 44, 215-238.
J. Beaulieu and J. Miron (1993), Seasonal unit roots in aggregate U.S. data. Journal of Econometrics, 54, 305-328.
P.H. Franses (1990), Testing for seasonal unit roots in monthly data, Technical Report 9032, Econometric Institute.