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# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2, or (at your option)
# any later version.
#
# This program is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
# General Public License for more details.
#
# A copy of the GNU General Public License is available via WWW at
# http://www.gnu.org/copyleft/gpl.html. You can also obtain it by
# writing to the Free Software Foundation, Inc., 59 Temple Place,
# Suite 330, Boston, MA 02111-1307 USA.
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: URCA INTERFACE [PFAFF] UNIT ROOT TESTS:
# urdfTest Performs Augmented Dickey-Fuller test for unit roots
# urersTest PerformsElliott-Rothenberg-Stock test for unit roots
# urkpssTest Performs KPSS unit root test for stationarity
# urppTest Performs Phillips-Perron test for unit roots
# urspTest Performs Schmidt-Phillips test for unit roots
# urzaTest Performs Zivot-Andrews test for unit roots
################################################################################
# NOTE, THIS INTERFACE REQUIRES THE URCA PACKAGE !
urdfTest =
function(x, lags = 1, type = c("nc", "c", "ct"), doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# Dickey-Fuller test for unit roots
# Notes:
# Requires "urca" which is not part of this distribution
# Wraps -
# ur.df(y, type = c("none", "drift", "trend"), lags = 1)
# FUNCTION:
# Compute:
x = as.vector(x)
if (type[1] == "nc") Type = "none"
if (type[1] == "c") Type = "drift"
if (type[1] == "ct") Type = "trend"
urca = ur.df(x, type = Type, lags = lags)
output = capture.output(summary(urca))[-(1:4)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
output = output[-length(output)][-3]
# Test Results:
ans = list(
name = "ur.df",
test = urca,
output = output
)
# Plot:
if (doplot) plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "Augmented Dickey-Fuller Unit Root Test",
description = description()
)
}
# ------------------------------------------------------------------------------
urersTest =
function(x, type = c("DF-GLS", "P-test"), model = c("constant", "trend"),
lag.max = 4, doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# Elliott-Rothenberg-Stock test for unit roots
# Notes:
# Requires "urca" which is not part of this distribution
# Wraps -
# ur.ers(y, type = c("DF-GLS", "P-test"),
# model = c("constant", "trend"), lag.max = 4)
# FUNCTION:
# Compute:
x = as.vector(x)
urca = ur.ers(x, type = type[1], model = model[1], lag.max = lag.max)
output = capture.output(summary(urca))[-(1:4)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
output = output[-length(output)]
if (type[1] == "DF-GLS") output = output[-(4:7)]
# Test Results:
ans = list(
name = "ur.ers",
test = urca,
output = output
)
# Plot:
if (doplot & type[1] == "DF-GLS") plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "Elliott-Rothenberg-Stock Unit Root Test",
description = description()
)
}
# ------------------------------------------------------------------------------
urkpssTest =
function(x, type = c("mu", "tau"), lags = c("short", "long", "nil"),
use.lag = NULL, doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# KPSS unit root test for stationarity
# Notes:
# Requires "urca" which is not part of this distribution
# Wraps:
# ur.kpss(y, type = c("mu", "tau"), lags = c("short", "long", "nil"),
# use.lag = NULL)
# FUNCTION:
# Compute:
x = as.vector(x)
urca = ur.kpss(x, type = type[1], lags = lags[1], use.lag = use.lag)
output = capture.output(summary(urca))[-(1:4)]
output = output[-length(output)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
# Test Results:
ans = list(
name = "ur.kpss",
test = urca,
output = output
)
# Plot:
if (doplot) plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "KPSS Unit Root Test",
description = description()
)
}
# ------------------------------------------------------------------------------
urppTest =
function(x, type = c("Z-alpha", "Z-tau"), model = c("constant", "trend"),
lags = c("short", "long"), use.lag = NULL, doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# Phillips-Perron test for unit roots
# Note:
# Requires "urca" which is not part of this distribution
# Wraps:
# ur.pp(x, type = c("Z-alpha", "Z-tau"), model = c("constant",
# "trend"), lags = c("short", "long"), use.lag = NULL)
# FUNCTION:
# Compute:
x = as.vector(x)
urca = ur.pp(x, type = type[1], mode = model[1], lags = lags[1],
use.lag = use.lag)
output = capture.output(summary(urca))[-c(1:4, 7:10)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
output = output[-length(output)]
# Test Results:
ans = list(
name = "ur.pp",
test = urca,
output = output
)
# Plot:
if (doplot) plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "Phillips-Perron Unit Root Test",
description = description()
)
}
# ------------------------------------------------------------------------------
urspTest =
function(x, type = c("tau", "rho"), pol.deg = c(1, 2, 3, 4),
signif = c(0.01, 0.05, 0.10), doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# Schmidt-Phillips test for unit roots
# Note:
# Requires "urca" which is not part of this distribution
# Wraps:
# ur.sp(y, type = c("tau", "rho"), pol.deg = c(1, 2, 3, 4),
# signif = c(0.01, 0.05, 0.1))
# FUNCTION:
# Compute:
x = as.vector(x)
urca = ur.sp(x, type = type[1], pol.deg = pol.deg[1], signif = signif[1])
output = capture.output(summary(urca))[-(1:8)]
output = output[-length(output)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
# Test Results:
ans = list(
name = "ur.pp",
test = urca,
output = output
)
# Plot:
if (doplot) plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "Schmidt-Phillips Unit Root Test",
description = description()
)
}
# ------------------------------------------------------------------------------
urzaTest =
function(x, model = c("intercept", "trend", "both"), lag = 2, doplot = TRUE)
{ # A function implemented by Diethelm Wuertz
# Description:
# Zivot-Andrews test for unit roots
# Note:
# Requires "urca" which is not part of this distribution
# Wraps:
# ur.za(y, model = c("intercept", "trend", "both"), lag)
# FUNCTION:
# Compute:
x = as.vector(x)
urca = ur.za(x, model = model[1], lag = lag)
output = capture.output(summary(urca))[-(1:8)]
output = output[-length(output)]
for (i in 1:length(output)) output[i] = paste(" ", output[i])
# Test Results:
ans = list(
name = "ur.pp",
test = urca,
output = output
)
# Plot:
if (doplot) plot(urca)
# Return Value:
new("fHTEST",
call = match.call(),
data = list(x = x),
test = ans,
title = "Zivot & Andrews Unit Root Test",
description = description()
)
}
################################################################################
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