chrecst-class {uroot}R Documentation

"chrecst" Class

Description

This class contains information from the Canova-Hansen 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.
frec
a vector indicating the frequencies to analyse.
f0
a 0-1 (No-Yes) vector of length one indicating wether a first lag of the dependent variable is included or not in the auxiliar regression. See details.
DetTr
a logical argument. If TRUE a linear trend is included in the auxiliar regression.
ltrunc
normal-bracket27bracket-normal
lag truncation parameter. By default, lag truncation parameter. By default, eqn
recstats:
Object of class "matrix": statistics in each subsample.
elaps:
Object of class "list": elapsed time during computation.

Methods

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

Author(s)

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

References

F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, 13, 237-252.

See Also

CH.rectest.


[Package uroot version 1.4 Index]