[R-SIG-Finance] Residuals with Elliot-Rothenberg-Stock Unit Root Test

[Jose Iparraguirre D'Elia]

Does anyone know how to retrieve the residuals after running an Elliot-Rothenberg-Stock (ERS) unit root test on a time series (urca package)? There are no 'residuals' or 'res' (or similar) slots in the ur.ers-class, but a plot instruction - ie plot(ur.ers(....)) renders amongst other things a residual plot.

If an augmented Dickey-Fuller test is run, an object of ur.df-class is generated which does contain a 'res' slot vector of residuals, but with the ur.ers-class, I couldn't figure out how to send the residuals that are plotted to an object as I can't find the vector with the values that are automatically plotted.

Regards,

Jose


Mr José Luis Iparraguirre
Senior Research Economist
Economic Research Institute of Northern Ireland
2 -14 East Bridge Street
Belfast BT1 3NQ
Northern Ireland
United Kingdom

Tel: +44 (0)28 9072 7365