This class contains the relevant information by applying the Phillips and Perron 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 of
Z statistic, either "Z-alpha" or "Z-tau".
model:Object of class "character": The type of
the deterministic part, either "constant" or
"trend". The latter includes a constant term, too.
lag:Object of class "integer": Number of lags
for error correction.
cval:Object of class "matrix": Critical values
at the 1%, 5% and 10% level of significance.
teststat:Object of class "numeric": Value of
the test statistic.
testreg:Object of class "ANY": The summary
output of the test regression.
auxstat:Object of class "matrix": Test
statistic(s) of the deterministic part.
res:Object of class "vector": The residuals of
the test regression.
test.name:Object of class "character": The
name of the test, i.e `Phillips-Perron'.
Class urca, directly.
Type showMethods(classes="ur.pp") 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 value and summary of test regression added.
plot:Diagram of fit plot, residual plot and their acfs' and pacfs'.
Bernhard Pfaff
Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335--346.
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: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.pp and urca-class