pp.test: Phillips-Perron Test

View source: R/pptest.R

pp.testR Documentation

Phillips-Perron Test

Description

Performs the Phillips-Perron test for the null hypothesis of a unit root of a univariate time series x (equivalently, x is a non-stationary time series).

Usage

pp.test(x, type = c("Z_rho", "Z_tau"), lag.short = TRUE, output = TRUE)

Arguments

x

a numeric vector or univariate time series.

type

the type of Phillips-Perron test. The default is Z_rho.

lag.short

a logical value indicating whether the parameter of lag to calculate the statistic is a short or long term. The default is a short term.

output

a logical value indicating to print the results in R console. The default is TRUE.

Details

Compared with the Augmented Dickey-Fuller test, Phillips-Perron test makes correction to the test statistics and is robust to the unspecified autocorrelation and heteroscedasticity in the errors. There are two types of test statistics, Z_{\rho} and Z_{\tau}, which have the same asymptotic distributions as Augmented Dickey-Fuller test statistic, ADF. The calculations of each type of the Phillips-Perron test can be see in the reference below. If the lag.short = TRUE, we use the default number of Newey-West lags floor(4*(length(x)/100)^0.25), otherwise floor(12*(length(x)/100)^0.25) to calculate the test statistics. In order to calculate the test statistic, we consider three types of linear regression models. The first type (type1) is the one with no drift and linear trend with respect to time:

x[t] = \rho*x[t-1] + e[t],

where e[t] is an error term. The second type (type2) is the one with drift but no linear trend:

x[t] = \mu + \rho*x[t-1] + e[t].

The third type (type3) is the one with both drift and linear trend:

x[t] = \mu + \alpha*t + \rho*x[t-1] + e[t].

The p.value is calculated by the interpolation of test statistics from the critical values tables (Table 10.A.1 for Z_rho and 10.A.2 for Z_tau in Fuller (1996)) with a given sample size n = length(x).

Value

A matrix for test results with three columns (lag,Z_rho or Z_tau, p.value) and three rows (type1, type2, type3). Each row is the test results (including lag parameter, test statistic and p.value) for each type of linear equation.

Note

Missing values are removed.

Author(s)

Debin Qiu

References

Phillips, P. C. B.; Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2): 335-346.

Fuller, W. A. (1996). Introduction to statistical time series, second ed., Wiley, New York.

See Also

adf.test, kpss.test, stationary.test

Examples

# PP test for ar(1) process
x <- arima.sim(list(order = c(1,0,0),ar = 0.2),n = 100)
pp.test(x)

# PP test for co2 data
pp.test(co2)

aTSA documentation built on May 29, 2024, 8:50 a.m.