urca (version 1.3-0)

ur.ers: Elliott, Rothenberg \& Stock Unit Root Test

Description

Performs the Elliott, Rothenberg \& Stock unit root test.

Usage

ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
       lag.max = 4)

Value

An object of class ur.ers.

Arguments

y

Vector to be tested for a unit root.

type

Test type, either "DF-GLS" (default), or "P-test".

model

The deterministic model used for detrending.

lag.max

The maximum numbers of lags used for testing of a decent lag truncation for the "P-test" (BIC used), or the maximum number of lagged differences to be included in the test regression for "DF-GLS".

Author

Bernhard Pfaff

Details

To improve the power of the unit root test, Elliot, Rothenberg \& Stock proposed a local to unity detrending of the time series. ERS developed a feasible point optimal test, "P-test", which takes serial correlation of the error term into account. The second test type is the "DF-GLS" test, which is an ADF-type test applied to the detrended data without intercept. Critical values for this test are taken from MacKinnon in case of model="constant" and else from Table 1 of Elliot, Rothenberg \& Stock.

References

Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, Vol. 64, No. 4, 813--836.

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://www.econ.ucsd.edu/papers/files/90-4.pdf.

See Also

ur.ers-class

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4)
summary(ers.gnp)