1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
|
##
## Setting methods for classes
##
show.urca <- function(object){
title <- paste("#", object@test.name, "Unit Root / Cointegration Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat("The value of the test statistic is:", round(object@teststat, 4), "\n")
cat('\n')
}
setMethod("show", "ur.kpss", show.urca)
setMethod("show", "ca.jo", show.urca)
setMethod("show", "cajo.test", show.urca)
setMethod("show", "ca.po", show.urca)
setMethod("show", "ur.pp", show.urca)
setMethod("show", "ur.df", show.urca)
setMethod("show", "ur.sp", show.urca)
setMethod("show", "ur.za", show.urca)
setMethod("show", "ur.ers", show.urca)
setMethod("show", "sumurca", function(object){
if(object@classname=="ur.za"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
print(object@testreg)
cat('\n')
cat('Teststatistic:', round(object@teststat, 4), '\n')
cat('Critical values: 0.01=', object@cval[1], '0.05=', object@cval[2], '0.1=', object@cval[3], '\n')
cat('\n')
cat('Potential break point at position:', object@bpoint, '\n')
cat('\n')
invisible(object)
}else if(object@classname=="ur.sp"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
print(object@testreg)
cat('\n')
cat('Value of test-statistic is:', round(object@teststat, 4), '\n')
cat('Critical value for a significance level of', object@signif, '\n')
cat('is:', object@cval, '\n')
cat('\n')
invisible(object)
}else if(object@classname=="ur.pp"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat('Test regression', object@model, '\n')
cat('\n')
print(object@testreg)
cat('\n')
cat('Value of test-statistic, type:', object@type,' is:', round(object@teststat, 4), '\n')
cat('\n')
print(object@auxstat)
cat('\n')
if(identical(object@type, "Z-tau")){
cat('Critical values for Z statistics: \n')
print(object@cval)
cat('\n')
}
invisible(object)
}else if(object@classname=="ur.df"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat('Test regression', object@model, '\n')
cat('\n')
print(object@testreg)
cat('\n')
cat('Value of test-statistic is:', round(object@teststat, 4), '\n')
cat('\n')
cat('Critical values for test statistics: \n')
print(object@cval)
cat('\n')
invisible(object)
}else if(object@classname=="ca.po"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat("Test of type", object@type, "\ndetrending of series", object@model, "\n")
cat("\n")
print(object@testreg)
cat('\n')
cat('Value of test-statistic is:', round(object@teststat, 4), '\n')
cat('\n')
cat('Critical values of', object@type, "are:\n")
print(object@cval)
cat('\n')
invisible(object)
}else if(object@classname=="ur.kpss"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat('Test is of type:', object@type, 'with', object@lag, 'lags. \n')
cat('\n')
cat('Value of test-statistic is:', round(object@teststat, 4), '\n')
cat('\n')
cat('Critical value for a significance level of: \n')
print(object@cval)
cat('\n')
invisible(object)
}else if(object@classname=="cajo.test"){
title <- paste("#", object@test.name, "#", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat(object@type, "\n")
cat("\n")
cat("The VECM has been estimated subject to: \n")
cat("beta=H*phi and/or alpha=A*psi\n")
if(!is.null(object@H)){
cat("\n")
print(object@H)
cat("\n")
}
if(!is.null(object@A)){
cat("\n")
print(object@A)
cat("\n")
}
cat("Eigenvalues of restricted VAR (lambda):\n")
print(round(object@lambda, 4))
cat('\n')
cat("The value of the likelihood ratio test statistic:\n")
cat(round(object@teststat, 2), "distributed as chi square with", object@pval[2], "df.\n")
cat("The p-value of the test statistic is:", round(object@pval[1], 2), "\n")
cat("\n")
cat("Eigenvectors, normalised to first column\n")
cat("of the restricted VAR:\n")
cat("\n")
print(round(object@V, 4))
cat("\n")
cat("Weights W of the restricted VAR:\n")
cat("\n")
print(round(object@W, 4))
cat("\n")
invisible(object)
}else if(object@classname=="ca.jo"){
title <- paste("#", object@test.name, "#", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat("Test type:", object@type, ",", object@model, "\n")
cat("\n")
cat("Eigenvalues (lambda):\n")
print(object@lambda)
cat('\n')
if(!(is.null(object@cval))){
res1 <- as.matrix(round(object@teststat, 2))
colnames(res1) <- "test"
result <- cbind(res1, object@cval)
cat("Values of teststatistic and critical values of test:\n")
cat("\n")
print(result)
cat("\n")
}else{
cat("Values of test statistic\n")
cat("\n")
result <- as.matrix(object@teststat)
rownames(result) <- c(paste("r <= ", (object@P-1):1, " |",sep=""), "r = 0 |")
print(result)
cat("\n")
invisible(x)
}
cat("Eigenvectors, normalised to first column:\n")
cat("(These are the cointegration relations)\n")
cat("\n")
print(object@V)
cat("\n")
cat("Weights W:\n")
cat("(This is the loading matrix)\n")
cat("\n")
print(object@W)
cat("\n")
invisible(object)
}else if(object@classname=="ur.ers"){
title <- paste("#", object@test.name, "Unit Root Test #", sep=" ")
row <- paste(rep("#", nchar(title)), collapse="")
cat("\n")
cat(row, "\n")
cat(title, "\n")
cat(row, "\n")
cat("\n")
cat("Test of type", object@type, "\ndetrending of series", object@model, "\n")
cat("\n")
if(!is.null(object@testreg)){
print(object@testreg)
cat('\n')
}
cat('Value of test-statistic is:', round(object@teststat, 4), '\n')
cat('\n')
cat('Critical values of', object@type, "are:\n")
print(object@cval)
cat('\n')
invisible(object)
}
})
|