R: Representation of class ur.pp

ur.pp-class {urca} | R Documentation

## Representation of class ur.pp

### Description

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

### Slots

`y`:

  Object of class `"vector"`: The time series to be tested.

`type`:

  Object of class `"character"`: Test type of Z statistic, either `"Z-alpha"` or `"Z-tau"`.

`model`:

  Object of class `"character"`: The type of the deterministic part, either `"constant"` or `"trend"`. The latter includes a constant term, too.

`lag`:

  Object of class `"integer"`: Number of lags for error correction.

`cval`:

  Object of class `"matrix"`: Critical values at the 1%, 5% and 10% level of significance.

`teststat`:

  Object of class `"numeric"`: Value of the test statistic.

`testreg`:

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

`auxstat`:

  Object of class `"matrix"`: Test statistic(s) of the deterministic part.

`res`:

  Object of class `"vector"`: The residuals of the test regression.

`test.name`:

  Object of class `"character"`: The name of the test, i.e ‘Phillips-Perron’.

### Extends

Class `urca`, directly.

### Methods

Type `showMethods(classes="ur.pp")` 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 added.

`plot`:

  Diagram of fit plot, residual plot and their acfs' and pacfs'.

### Author(s)

Bernhard Pfaff

### References

Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335–346.

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://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.

### See Also

`ur.pp` and `urca-class`

[Package urca version 1.3-0 Index]