R: Elliott, Rothenberg & Stock Unit Root Test

ur.ers {urca} | R Documentation

## Elliott, Rothenberg \& Stock Unit Root Test

### Description

Performs the Elliott, Rothenberg \& Stock unit root test.

### Usage

    ur.ers(y, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
           lag.max = 4)

### Arguments

`y` | Vector to be tested for a unit root.
`type` | Test type, either `"DF-GLS"` (default), or `"P-test"`.
`model` | The deterministic model used for detrending.
`lag.max` | The maximum numbers of lags used for testing of a decent lag truncation for the `"P-test"` (`BIC` used), or the maximum number of lagged differences to be included in the test regression for `"DF-GLS"`.

### Details

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.

### Value

An object of class `ur.ers`.

### Author(s)

Bernhard Pfaff

### References

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.

### See Also

`ur.ers-class`

### Examples

    data(nporg)
    gnp <- na.omit(nporg[, "gnp.r"])
    ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4)
    summary(ers.gnp)

[Package urca version 1.3-0 Index]