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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