ur.sp {urca} | R Documentation |
Schmidt and Phillips Unit Root Test
Description
Performs the Schmidt and 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 |
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: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
See Also
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)