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()