Description

This class contains the relevant information by applying the Elliott, Rothenberg \& Stock unit root test.

Slots

y:

Object of class "vector": The time series to be tested.

yd:

Object of class "vector": The detrended time series.

type:

Object of class "character": Test type, either "DF-GLS" (default), or "P-test".

model:

Object of class "character": The deterministic model used for detrending, either intercept only, or intercept with linear trend.

lag:

Object of class "integer": The number of lags used in the test/auxiliary regression.

cval:

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

teststat:

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

testreg:

Object of class "ANY": The test regression, only set for "DF-GLS".

test.name:

Object of class "character": The name of the test, i.e. ‘Elliott, Rothenberg \& Stock’.

Extends

Class urca, directly.

Methods

Type showMethods(classes="ur.ers") 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 test type, test regression (type="DF-GLS") and critical values added.

plot:

Diagram of fit, residual plot and their acfs' and pacfs' for type="DF-GLS".

Author(s)

Bernhard Pfaff

References

Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, Vol. 64, No. 4, 813–836.

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: http://www.econ.ucsd.edu/papers/files/90-4.pdf.

See Also

ur.ers and urca-class.