urca (version 1.2-9)

ur.ers-class: Representation of class ur.ers

Description

This class contains the relevant information by applying the Elliott, Rothenberg \& Stock unit root test.

Slots

y:

Object of class "vector": The time series to be tested.

yd:

Object of class "vector": The detrended time series.

type:

Object of class "character": Test type, either "DF-GLS" (default), or "P-test".

model:

Object of class "character": The deterministic model used for detrending, either intercept only, or intercept with linear trend.

lag:

Object of class "integer": The number of lags used in the test/auxiliary regression.

cval:

Object of class "matrix": The critical values of the test at the 1%, 5% and 10% level of significance.

teststat:

Object of class "numeric": The value of the test statistic.

testreg:

Object of class "ANY": The test regression, only set for "DF-GLS".

test.name:

Object of class "character": The name of the test, i.e. `Elliott, Rothenberg \& Stock'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.ers") 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 test type, test regression (type="DF-GLS") and critical values added.

plot:

Diagram of fit, residual plot and their acfs' and pacfs' for type="DF-GLS".

References

Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, Vol. 64, No. 4, 813--836.

MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267--276.

Download possible at: http://www.econ.ucsd.edu/papers/files/90-4.pdf.

See Also

ur.ers and urca-class.