Description

This class contains the relevant information by applying the Zivot \& Andrews unit root test to a time series.

Slots

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 \& Andrews’.

testreg:

Object of class "ANY" The summary output of the test regression.

Extends

Class urca, directly.

Methods

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.

Author(s)

Bernhard Pfaff

References

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 \& Economic Statistics, 10(3), 251–270.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.za and urca-class.