This class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt and Shin unit root test to a time series.
y:Object of class "vector": The time series to
be tested.
type:Object of class "character": Test type,
"mu" or "tau" depending on the deterministic part.
lag:Object of class "integer": Number of lags
for error term correction.
cval:Object of class "matrix": Critical value
of test.
teststat:Object of class "numeric": Value of
test statistic.
res:Object of class "vector": Residuals of
test regression.
test.name:Object of class "character": The
name of the test, i.e. `KPSS'.
Class urca, directly.
Type showMethods(classes="ur.kpss") 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 critical values, lags and test type added.
plot:Residual plot and their acfs' and pacfs'.
Bernhard Pfaff
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159--178.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.kpss and urca-class.