This class contains the relevant information by applying the Phillips \& Ouliaris cointegration test to a data matrix.
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'.
Class urca, directly.
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'.
Bernhard Pfaff
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165--193.
ca.po and urca-class.