urca (version 1.3-0)

ur.sp: Schmidt \& Phillips Unit Root Test

Description

Performs the Schmidt \& Phillips unit root test, where under the Null and Alternative Hypothesis the coefficients of the deterministic variables are included.

Usage

ur.sp(y, type = c("tau", "rho"), pol.deg = c(1, 2, 3, 4),
      signif = c(0.01, 0.05, 0.1))

Value

An object of class "ur.sp".

Arguments

y

Vector to be tested for a unit root.

type

Test type, either tau or rho test.

pol.deg

Degree of polynomial in the test regression.

signif

Significance level for the critical value of the test statistic.

Author

Bernhard Pfaff

Details

Under the Null and the Alternative hypothesis the coefficients of the deterministic part of the test regression are included. Two test types are available: the rho-test and the tau-test. Both test are extracted from the LM principle.

References

Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54(3), 257--287.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.sp-class

Examples

data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
summary(sp.gnp)