ur.df-class: Representation of class ur.df

Description

This class contains the relevant information by applying the augmented Dickey-Fuller unit root test to a time series.

Arguments

Slots

y:: Object of class "vector": The time series to be tested.
model:: Object of class "character": The type of the deterministic part, either "none", "drift" or "trend". The latter includes a constant term, too.
lags:: Object of class "integer": Number of lags for error correction.
cval:: Object of class "matrix": Critical values at the 1%, 5% and 10% level of significance.
teststat:: Object of class "matrix": Value of the test statistic.
testreg:: Object of class "ANY": The summary output of the test regression.
res:: Object of class "vector": The residuals of the test regression.
test.name:: Object of class "character": The name of the test, i.e `Augmented-Dickey-Fuller Test'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.df") at the R prompt for a complete list of methods which are available for this class. Useful methods include

show:: test statistic.
summary:: like show, but critical value and summary of test regression added.
plot:: Residual plot, acfs' and pacfs'.

References

Dickey, D. A. and Fuller, W. A. (1979), Distributions of the Estimators For Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 75, 427--431. Dickey, D. A. and Fuller, W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057--1072.