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.
Value
An object of class ur.pp.
Details
The function ur.pp() computes the Phillips \& Perron test. For
correction of the error term a Bartlett window is used.
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.