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

[Matthieu Stigler]

Dear José

At best always provide code, even if trivial, as in:
library(urca)
ers<-ur.ers(sunspots)

For your question, I think:
res<-residuals(ers at testreg)

you could have found it using:
str(ers)
and then looking for the differents slots shown.

Hope this helps

Matthieu

2009/11/13 Jose Iparraguirre D'Elia <Jose at erini.ac.uk>:
> 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
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