ur.za-class: Representation of class ur.za

Description

This class contains the relevant information by applying the Zivot \& Andrews 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 model to be used, i.e. intercept, trend or both
lag:: Object of class "integer": The highest number of lags to include in the test regression.
teststat:: Object of class "numeric": The t-statistic.
cval:: Object of class "vector": Critical values at the 1%, 5% and 10% level of significance.
bpoint:: Object of class "integer": The potential break point.
tstats:: Object of class "vector" The t-statistics of the rolling 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. `Zivot \& Andrews'.
testreg:: Object of class "ANY" The summary output of the test regression.

Extends

Class urca, directly.

Methods

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

show:: test statistic and critical values.
summary:: like show, but summary of test regression added.
plot:: plot of recursive t-statistics.

References

Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business \& Economic Statistics, 10(3), 251--270.