ur.kpss-class: Representation of class ur.kpss

Description

This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt \& Shin unit root test to a time series.

Arguments

Slots

y:: Object of class "vector": The time series to be tested.
type:: Object of class "character": Test type, "mu" or "tau" depending on the deterministic part.
lag:: Object of class "integer": Number of lags for error term correction.
cval:: Object of class "matrix": Critical value of test.
teststat:: Object of class "numeric": Value of test statistic.
res:: Object of class "vector": Residuals of test regression.
test.name:: Object of class "character": The name of the test, i.e. `KPSS'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.kpss") 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 values, lags and test type added.
plot:: Residual plot and their acfs' and pacfs'.

References

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (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.