Elliott, Rothenberg \& Stock Unit Root Test
Performs the Elliott, Rothenberg \& Stock unit root test.
ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
lag.max = 4)y |
Vector to be tested for a unit root. |
type |
Test type, either |
model |
The deterministic model used for detrending. |
lag.max |
The maximum numbers of lags used for testing of a
decent lag truncation for the |
To improve the power of the unit root test, Elliot, Rothenberg \& Stock
proposed a local to unity detrending of the time series. ERS developed
a feasible point optimal test, "P-test", which takes serial
correlation of the error term into account. The second test type is
the "DF-GLS" test, which is an ADF-type test applied to the
detrended data without intercept. Critical values for this test are
taken from MacKinnon in case of model="constant" and else from
Table 1 of Elliot, Rothenberg \& Stock.
An object of class ur.ers.
Bernhard Pfaff
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.
data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4) summary(ers.gnp)
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