kpssrecst-class {uroot}R Documentation

"kpssrecst" Class

Description

This class contains information from the Kwiatkowski-Phillips-Schmidt-Shin 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.
ltrunc
normal-bracket21bracket-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 = "kpssrecst", y = "missing").: Plot the KPSS statistics along the subsamples.
show
signature(object = "kpssrecst"): Show the KPSS statistics in each subsample.

Author(s)

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

References

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.

See Also

KPSS.rectest.


[Package uroot version 1.4 Index]