adfrecst-class {uroot}R Documentation

"adfrecst" Class

Description

This class contains information from the Augmented Dickey-Fuller unit root test computed recursively along subsamples of the original data.

Slots

wts:
Object of class "ts": Original time series.
type:
Object of class "character": how the subsamples are defined.
nsub:
Object of class "numeric": the number of observations in each subsample.
itsd:
Object of class "numeric": Deterministic regressors included in the auxiliar regression, namely intercept, trend, and/or seasonal dummies.
regvar:
Object of class "numeric": Regressor variables. Not considered in this procedure.
selectlags:
Object of class "list": Method for selecting lags and the maximum order considered.
recstats:
Object of class "matrix": statistics in each subsample.
elaps:
Object of class "list": elapsed time during computation.

Methods

plot.
signature(x = "adfrecst", y = "missing"). Plot the ADF statistics along the subsamples.
show.
Show the ADF statistics in each subsample.

Author(s)

Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es

References

D.A. Dickey and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1071.

W.A. Fuller (1976), Introduction to Statistical Time Series. Jonh Wiley, New York.

See Also

ADF.rectest.


[Package uroot version 1.4 Index]