R: Phillips & Perron Unit Root Test

ur.pp {urca} | R Documentation

## 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.

### See Also

`ur.pp-class`.

### Examples

    data(nporg)
    gnp <- na.omit(nporg[, "gnp.r"])
    pp.gnp <- ur.pp(gnp, type="Z-tau", model="trend", lags="short")
    summary(pp.gnp)

[Package urca version 1.3-0 Index]