kpssrecst-class {uroot} | R Documentation |
This class contains information from the Kwiatkowski-Phillips-Schmidt-Shin unit root test computed recursively along subsamples of the original data.
wts
:"ts"
: Original time series.type
:"character"
: how the subsamples are defined.nsub
:"numeric"
: the number of observations in each subsample.recstats
:"matrix"
: statistics in each subsample.elaps
:"list"
: elapsed time during computation.signature(x = "kpssrecst", y = "missing").
: Plot the KPSS statistics along the
subsamples.signature(object = "kpssrecst")
: Show the KPSS statistics in each subsample.Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es
D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.