R help - May 2006 - urppTest Z-tau? Z-alpha?

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

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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