ur.sp-class: Representation of class ur.sp

Description

This class contains the relevant information by applying the Schmidt and Phillips unit root test to a time series.

Arguments

Slots

y:: Object of class "vector": The time series to be tested.
type:: Object of class "character": Test type, "rho" or "tau" test statistic.
polynomial:: Object of class "integer": Deterministic trend specification
signif:: Object of class "numeric": Critical values.
teststat:: Object of class "numeric": Value of the test statistic.
cval:: Object of class "numeric": The critical values, depending on "signif", "polynomial" and the sample size.
res:: Object of class "vector": The residuals of the test regression.
testreg:: Object of class "ANY": The summary output of the test regression.
test.name:: Object of class "character": The name of the test, i.e. `"Schmidt and Phillips'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.sp") 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'.

Author

Bernhard Pfaff

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: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.