ur.pp: Phillips and Perron Unit Root Test

In urca: Unit Root and Cointegration Tests for Time Series Data

Phillips and Perron Unit Root Test

Description

Performs the Phillips and 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

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 and 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: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

See Also

ur.pp-class.

Examples

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

urca documentation built on May 29, 2024, 5:36 a.m.