Description

This class contains the relevant information by applying the Phillips \& Ouliaris cointegration test to a data matrix.

Slots

z:

Object of class "ANY": A data matrix, or an object that can be coerced to it.

type:

Object of class "character": The type of the test, either the "Pu"-test or the normalisation invariant "Pz"-test.

model:

Object of class "character": Determines how the series should be detrended.

lag:

Object of class "integer": The lags used for variance/covariance correction.

cval:

Object of class "matrix": The critical values of the test at the 1%, 5% and 10% level of significance.

res:

Object of class "matrix": The residuals of the the cointegration regression(s).

teststat:

Object of class "numeric": The value of the test statistic.

testreg:

Object of class "ANY": The summary output of the cointegration regression(s).

test.name:

Object of class "character": The name of the test, i.e. ‘Phillips \& Ouliaris’.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ca.po") 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(s) added.

plot:

Residual plot(s) and their acfs' and pacfs'.

Author(s)

Bernhard Pfaff

References

Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.

See Also

ca.po and urca-class.