[R] urppTest Z-tau? Z-alpha?
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Wed May 3 10:40:04 CEST 2006
Hello Anne,
you will find the necessary details in the following paper, its
publication in 'Biometrika' is cited in ?ur.pp.
http://cowles.econ.yale.edu/P/cp/p07a/p0706.pdf
Best,
Bernhard
>Hello,
>
>Could someone give me a hint about what might be the
>difference between running urppTest
>with Z-alpha and Z-tau in type=c("Z-alpha", "Z-tau")?
>
>Is this the underlying equation:
>delta_y(t) = mu + tau*timetrend+(1-rho)*y(t-1) +
>alpha_1*delta_y(t-1) + ... +
>alpha_k*delta_y(t-k) + error term ?
>
>I looked at Banerjee et al. mentioned in the fSeries
>documentation, but that didn't help.
>
>Thanks a lot,
>Katrin
>
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