urca: ur.pp – R documentation

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ur.pp

Phillips \& Perron Unit Root Test

Description

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.

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 \& 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: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)' and http://www.econ.ucsd.edu/papers/files/90-4.pdf.

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

Unit Root and Cointegration Tests for Time Series Data

v1.3-0

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]

Initial release

2016-09-06