This class contains the relevant information by applying the Elliott, Rothenberg \& Stock unit root test.
y:Object of class "vector": The time series to
be tested.
yd:Object of class "vector": The detrended
time series.
type:Object of class "character": Test type,
either "DF-GLS" (default), or "P-test".
model:Object of class "character": The
deterministic model used for detrending, either intercept only, or
intercept with linear trend.
lag:Object of class "integer": The number of
lags used in the test/auxiliary regression.
cval:Object of class "matrix": The critical
values of the test at the 1%, 5% and 10% level of significance.
teststat:Object of class "numeric": The value
of the test statistic.
testreg:Object of class "ANY": The test
regression, only set for "DF-GLS".
test.name:Object of class "character": The
name of the test, i.e. `Elliott, Rothenberg \& Stock'.
Class urca, directly.
Type showMethods(classes="ur.ers") 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 test type, test regression (type="DF-GLS") and critical values added.
plot:Diagram of fit, residual plot and their acfs'
and pacfs' for type="DF-GLS".
Bernhard Pfaff
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.
ur.ers and urca-class.