ur.pp-class: Representation of class ur.pp

Description

This class contains the relevant information by applying the Phillips \& Perron 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 of Z statistic, either "Z-alpha" or "Z-tau".
model:: Object of class "character": The type of the deterministic part, either "constant" or "trend". The latter includes a constant term, too.
lag:: 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 "numeric": Value of the test statistic.
testreg:: Object of class "ANY": The summary output of the test regression.
auxstat:: Object of class "matrix": Test statistic(s) of the deterministic part.
res:: Object of class "vector": The residuals of the test regression.
test.name:: Object of class "character": The name of the test, i.e `Phillips-Perron'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.pp") 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:: Diagram of fit plot, residual plot and their acfs' and pacfs'.

References

Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335--346.

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://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.