pp¶
Purpose¶
Computes the Phillips and Perron unit root test (Perron, P., & Ng, S. (1996)).
Format¶
-
{ Zt, Za, cvZt, cvZa } =
PP(y, model[, bwl, varm])¶ Parameters: - y (Nx1 matrix) – Time series data to be tested.
- model (Scalar) –
Model to be implemented.
0 No constant or trend. 1 Constant. 2 Constant and trend. - bwl (Scalar) – Optional, bandwidth for the spectral window. Default = round(4 * (T/100)^(2/9)).
- varm (Scalar) –
Optional, long-run consistent variance estimation method. Default = 1.
1 iid. 2 Bartlett. 3 Quadratic Spectral (QS). 4 SPC with Bartlett (Sul, Phillips & Choi, 2005) 5 SPC with QS 6 Kurozumi with Bartlett 7 Kurozumi with QS
Returns: - Zt (Scalar) – Phillips and Perron Zt test statistic.
- Za (Scalar) – Phillips and Perron Za test statistic.
- cvZt (Vector) – 1%, 5%, and 10% critical values for PP \(Zt\)-stat.
- cvZa (Vector) – 1%, 5%, and 10% critical values for PP \(Zt\)-stat.
Examples¶
library tspdlib;
// Load date file
y = loadd(__FILE_DIR $+ "TSe.dat");
// No deterministic component
model = 0;
{ Zt, Za, cvZt, cvZa } = PP(y, model);