R: Schmidt & Phillips Unit Root Test

ur.sp {urca} | R Documentation

## Schmidt \& Phillips Unit Root Test

### Description

Performs the Schmidt \& Phillips unit root test, where under the Null and Alternative Hypothesis the coefficients of the deterministic variables are included.

### Usage

    ur.sp(y, type = c("tau", "rho"), pol.deg = c(1, 2, 3, 4),
          signif = c(0.01, 0.05, 0.1))

### Arguments

`y` | Vector to be tested for a unit root.
`type` | Test type, either `tau` or `rho` test.
`pol.deg` | Degree of polynomial in the test regression.
`signif` | Significance level for the critical value of the test statistic.

### Details

Under the Null and the Alternative hypothesis the coefficients of the deterministic part of the test regression are included. Two test types are available: the `rho`-test and the `tau`-test. Both test are extracted from the LM principle.

### Value

An object of class `"ur.sp"`.

### 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)'.

### See Also

`ur.sp-class`

### Examples

    data(nporg)
    gnp <- na.omit(nporg[, "gnp.r"])
    sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
    summary(sp.gnp)

[Package urca version 1.3-0 Index]