urca (version 1.3-0)

show-methods: Methods for Function show in Package `urca'

Description

Displays the outcome of the unit root/cointegration tests.

Methods

object = "ca.jo"

Displays the test statistic of the Johansen procedure.

object = "cajo.test"

Displays the test statistic of a restricted VAR with respect to \(\bold{\alpha}\) and/or \(\bold{\beta}\).

object = "ca.po"

Displays the test statistic of the Phillips \& Ouliaris cointegration test.

object = "ur.df"

Displays the test statistic of the Augmented, Dickey and Fuller unit root test.

object = "ur.ers"

Displays the test statistic of the Elliott, Rothenberg \& Stock unit root test.

object = "ur.kpss"

Displays the test statistic of the Kwiatkowski et al. unit root test.

object = "ur.pp"

Displays the test statistic of the Phillips \& Perron unit root test.

object = "ur.df"

Displays the test statistic of the augmented Dickey-Fuller unit root test.

object = "ur.sp"

Displays the test statistic of the Schmidt \& Phillips unit root test.

object = "ur.za"

Displays the test statistic of the Zivot \& Andrews unit root test.

object = "sumurca"

Displays the summary output.

Author

Bernhard Pfaff

See Also

ca.jo-class, cajo.test-class, ca.po-class, ur.ers-class, ur.kpss-class, ur.pp-class, ur.sp-class, ur.df-class and ur.za-class.

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
#
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="trend", lag.max=4)
show(ers.gnp)
#
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
show(kpss.gnp)
#
pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
show(pp.gnp)
#
df.gnp <- ur.df(gnp, type="trend", lags=4)
show(df.gnp)
#
sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
show(sp.gnp)
#
za.gnp <- ur.za(gnp, model="both", lag=2)
show(za.gnp)
#
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, season=4)
show(sjd.vecm)
#
HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
show(blrtest(sjd.vecm, H=HD0, r=1))

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