ca.po-class: Representation of class ca.po
Description
This class contains the relevant information by applying the Phillips
\& Ouliaris cointegration test to a data matrix.
Slots
z:- Object of class
"ANY": A data matrix, or an
object that can be coerced to it. type:- Object of class
"character": The type of
the test, either the "Pu"-test or the normalisation
invariant "Pz"-test. model:- Object of class
"character": Determines
how the series should be detrended. lag:- Object of class
"integer": The lags used
for variance/covariance correction. cval:- Object of class
"matrix": The critical
values of the test at the 1%, 5% and 10% level of significance. res:- Object of class
"matrix": The residuals of
the the cointegration regression(s). teststat:- Object of class
"numeric": The value
of the test statistic. testreg:- Object of class
"ANY": The summary
output of the cointegration regression(s). test.name:- Object of class
"character": The
name of the test, i.e. `Phillips \& Ouliaris'.
Extends
Class urca, directly.Methods
Type showMethods(classes="ca.po") 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(s) added.
plot:- Residual plot(s) and their acfs' and pacfs'.
References
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of
Residual Based Tests for Cointegration, Econometrica,
Vol. 58, No. 1, 165--193.