x
has a unit root.
pp.test(x, alternative = c("stationary", "explosive"), type = c("Z(alpha)", "Z(t_alpha)"), lshort = TRUE)
"stationary"
(default) or "explosive"
. You can
specify just the initial letter."Z(alpha)"
(default) or "Z(t_alpha)"
."htest"
containing the following components:Z(alpha)
or Z(t_alpha)
statistic for a first order autoregressive coefficient equals one are
computed. To estimate sigma^2
the Newey-West estimator is
used. If lshort
is TRUE
, then the truncation lag
parameter is set to trunc(4*(n/100)^0.25)
, otherwise
trunc(12*(n/100)^0.25)
is used. The p-values are interpolated
from Table 4.1 and 4.2, p. 103 of Banerjee et al. (1993). If the
computed statistic is outside the table of critical values, then a
warning message is generated.
Missing values are not handled.
adf.test
x <- rnorm(1000) # no unit-root
pp.test(x)
y <- cumsum(x) # has unit root
pp.test(y)
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