ur.ers: Elliott, Rothenberg and Stock Unit Root Test
Description
Performs the Elliott, Rothenberg and 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 and 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 and 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.