This class contains the relevant information by applying the Zivot and Andrews unit root test to a time series.
y:Object of class "vector": The time series to
be tested.
model:Object of class "character": The model
to be used, i.e. intercept, trend or both
lag:Object of class "integer": The highest
number of lags to include in the test regression.
teststat:Object of class "numeric": The t-statistic.
cval:Object of class "vector": Critical values
at the 1%, 5% and 10% level of significance.
bpoint:Object of class "integer": The
potential break point.
tstats:Object of class "vector" The
t-statistics of the rolling regression.
res:Object of class "vector" The residuals of
the test regression.
test.name:Object of class "character" The name
of the test, i.e. `Zivot and Andrews'.
testreg:Object of class "ANY" The summary
output of the test regression.
Class urca, directly.
Type showMethods(classes="ur.za") at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
show:test statistic and critical values.
summary:like show, but summary of test regression added.
plot:plot of recursive t-statistics.
Bernhard Pfaff
Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10(3), 251--270.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
ur.za and urca-class.