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.

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`x` |
Vector to be tested for a unit root. |

`type` |
Test type, either |

`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. |

The function `ur.pp()`

computes the Phillips \& Perron test. For
correction of the error term a Bartlett window is used.

An object of class `ur.pp`

.

Bernhard Pfaff

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.

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