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);

Source

pp.src

See also

Functions adf(), lmkpss()