Representation of class ur.kpss
ur.kpss-class.RdThis class contains the relevant information by applying the Kwiatkowski, Phillips, Schmidt and Shin 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,"mu"or"tau"depending on the deterministic part.lag:Object of class
"integer": Number of lags for error term correction.cval:Object of class
"matrix": Critical value of test.teststat:Object of class
"numeric": Value of test statistic.res:Object of class
"vector": Residuals of test regression.test.name:Object of class
"character": The name of the test, i.e. `KPSS'.
Methods
Type showMethods(classes="ur.kpss") 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 values, lags and test type added.
plot:Residual plot and their acfs' and pacfs'.
References
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159–178.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
See also
ur.kpss and urca-class.