R: Critical values for Schmidt and Phillips Unit Root Test

urca-internal {urca}

R Documentation

Critical values for Schmidt and Phillips Unit Root Test

Description

This function is an internal function and is called by ur.sp. It computes the critical value of the Schmidt and Phillips test, given a level of significance, the polynomial degree of the test regression, the test type and the sample size.

Usage

.spcv(obs, type, pol.deg, signif)

Arguments

`obs`	The sample size.
`type`	The test type.
`pol.deg`	The polynomial degree.
`signif`	The significance level.

Value

The critical value of the test.

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)'.