ur.pp: Phillips & Perron Unit Root Test

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/ur-pp.R

Description

Performs the Phillips \& Perron unit root test. Beside the Z statistics Z-alpha and Z-tau, the Z statistics for the deterministic part of the test regression are computed, too.

Usage

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ur.pp(x, type = c("Z-alpha", "Z-tau"), model = c("constant", "trend"),
      lags = c("short", "long"), use.lag = NULL)

Arguments

x

Vector to be tested for a unit root.

type

Test type, either "Z-alpha" or "Z-tau".

model

Determines the deterministic part in the test regression.

lags

Lags used for correction of error term.

use.lag

Use of a different lag number, specified by the user.

Details

The function ur.pp() computes the Phillips \& Perron test. For correction of the error term a Bartlett window is used.

Value

An object of class ur.pp.

Author(s)

Bernhard Pfaff

References

Phillips, P.C.B. and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75(2), 335–346.

MacKinnon, J.G. (1991), Critical Values for Cointegration Tests, Long-Run Economic Relationships, eds. R.F. Engle and C.W.J. Granger, London, Oxford, 267–276.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.

See Also

ur.pp-class.

Examples

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data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
summary(pp.gnp)

Example output

################################## 
# Phillips-Perron Unit Root Test # 
################################## 

Test regression with intercept and trend 


Call:
lm(formula = y ~ y.l1 + trend)

Residuals:
    Min      1Q  Median      3Q     Max 
-54.683  -8.176   2.394  11.843  27.884 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept) 14.01374    9.93593   1.410    0.164    
y.l1         0.98538    0.03301  29.849   <2e-16 ***
trend        0.50203    0.32292   1.555    0.125    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 15.75 on 58 degrees of freedom
Multiple R-squared:  0.9926,	Adjusted R-squared:  0.9924 
F-statistic:  3896 on 2 and 58 DF,  p-value: < 2.2e-16


Value of test-statistic, type: Z-tau  is: -0.7734 

           aux. Z statistics
Z-tau-mu              0.7316
Z-tau-beta            1.6657

Critical values for Z statistics: 
                     1pct      5pct     10pct
critical values -4.113484 -3.483605 -3.169576

urca documentation built on May 29, 2017, 3:27 p.m.

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