[go: up one dir, main page]

File: show-methods.Rd

package info (click to toggle)
urca 1.3-4-1
  • links: PTS, VCS
  • area: main
  • in suites: forky, sid, trixie
  • size: 2,428 kB
  • sloc: fortran: 509; ansic: 15; makefile: 2
file content (82 lines) | stat: -rw-r--r-- 2,782 bytes parent folder | download | duplicates (2)
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
\name{show-methods}
\docType{methods}
\alias{show}
\alias{show-methods}
\alias{show,ur.ers-method}
\alias{show,ur.kpss-method}
\alias{show,ca.jo-method}
\alias{show,ca.po-method}
\alias{show,cajo.test-method}
\alias{show,ur.pp-method}
\alias{show,ur.df-method}
\alias{show,ur.sp-method}
\alias{show,ur.za-method}
\alias{show,sumurca-method}
\encoding{latin1}
\title{Methods for Function show in Package `urca'}
\description{
  Displays the outcome of the unit root/cointegration tests.
}
\section{Methods}{\describe{

\item{object = "ca.jo"}{Displays the test statistic of the Johansen procedure.}
\item{object = "cajo.test"}{Displays the test statistic of a restricted
  VAR with respect to \eqn{\bold{\alpha}} and/or \eqn{\bold{\beta}}.}
\item{object = "ca.po"}{Displays the test statistic of the Phillips and
  Ouliaris cointegration test.}
\item{object = "ur.df"}{Displays the test statistic of the Augmented,
  Dickey and Fuller unit root test.}
\item{object = "ur.ers"}{Displays the test statistic of the Elliott,
  Rothenberg and Stock unit root test.}
\item{object = "ur.kpss"}{Displays the test statistic of the Kwiatkowski
  \emph{et al.} unit root test.}
\item{object = "ur.pp"}{Displays the test statistic of the Phillips and
  Perron unit root test.}
\item{object = "ur.df"}{Displays the test statistic of the augmented
  Dickey-Fuller unit root test.}
\item{object = "ur.sp"}{Displays the test statistic of the Schmidt and
  Phillips unit root test.}
\item{object = "ur.za"}{Displays the test statistic of the Zivot and
  Andrews unit root test.}
\item{object = "sumurca"}{Displays the summary output.}

}}
\seealso{
  \code{\link{ca.jo-class}}, \code{\link{cajo.test-class}},
  \code{\link{ca.po-class}}, \code{\link{ur.ers-class}},
  \code{\link{ur.kpss-class}}, \code{\link{ur.pp-class}},
  \code{\link{ur.sp-class}}, \code{\link{ur.df-class}} and \code{\link{ur.za-class}}.
}
\examples{
data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
gnp.l <- log(gnp)
#
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="trend", lag.max=4)
show(ers.gnp)
#
kpss.gnp <- ur.kpss(gnp.l, type="tau", lags="short")
show(kpss.gnp)
#
pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
show(pp.gnp)
#
df.gnp <- ur.df(gnp, type="trend", lags=4)
show(df.gnp)
#
sp.gnp <- ur.sp(gnp, type="tau", pol.deg=1, signif=0.01)
show(sp.gnp)
#
za.gnp <- ur.za(gnp, model="both", lag=2)
show(za.gnp)
#
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, season=4)
show(sjd.vecm)
#
HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
show(blrtest(sjd.vecm, H=HD0, r=1))
}
\author{Bernhard Pfaff}
\keyword{methods}