urca: urca-internal – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

urca-internal

Critical values for Schmidt \& Phillips Unit Root Test

Description

This function is an internal function and is called by ur.sp. It computes the critical value of the Schmidt \& Phillips test, given a level of significance, the polynomial degree of the test regression, the test type and the sample size.

Usage

.spcv(obs, type, pol.deg, signif)

Arguments

`obs`	The sample size.
`type`	The test type.
`pol.deg`	The polynomial degree.
`signif`	The significance level.

Value

The critical value of the test.

Author(s)

Bernhard Pfaff

References

Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, 54(3), 257–287.

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