R: Representation of class ca.po

ca.po-class {urca} | R Documentation

## Representation of class ca.po

### 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`.

[Package urca version 1.3-0 Index]