[R] urppTest Z-tau? Z-alpha?

[Pfaff, Bernhard Dr.]

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
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide! 
>http://www.R-project.org/posting-guide.html
>
*****************************************************************
Confidentiality Note: The information contained in this mess...{{dropped}}