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<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"><html xmlns="http://www.w3.org/1999/xhtml"><head><title>R: Phillips-Perron Test for Unit Roots</title> <meta http-equiv="Content-Type" content="text/html; charset=utf-8" /> <link rel="stylesheet" type="text/css" href="R.css" /> </head><body> <table width="100%" summary="page for PP.test {stats}"><tr><td>PP.test {stats}</td><td style="text-align: right;">R Documentation</td></tr></table> <h2>Phillips-Perron Test for Unit Roots</h2> <h3>Description</h3> <p>Computes the Phillips-Perron test for the null hypothesis that <code>x</code> has a unit root against a stationary alternative. </p> <h3>Usage</h3> <pre> PP.test(x, lshort = TRUE) </pre> <h3>Arguments</h3> <table summary="R argblock"> <tr valign="top"><td><code>x</code></td> <td> <p>a numeric vector or univariate time series.</p> </td></tr> <tr valign="top"><td><code>lshort</code></td> <td> <p>a logical indicating whether the short or long version of the truncation lag parameter is used.</p> </td></tr> </table> <h3>Details</h3> <p>The general regression equation which incorporates a constant and a linear trend is used and the corrected t-statistic for a first order autoregressive coefficient equals one is computed. To estimate <code>sigma^2</code> the Newey-West estimator is used. If <code>lshort</code> is <code>TRUE</code>, then the truncation lag parameter is set to <code>trunc(4*(n/100)^0.25)</code>, otherwise <code>trunc(12*(n/100)^0.25)</code> is used. The p-values are interpolated from Table 4.2, page 103 of Banerjee <em>et al</em> (1993). </p> <p>Missing values are not handled. </p> <h3>Value</h3> <p>A list with class <code>"htest"</code> containing the following components: </p> <table summary="R valueblock"> <tr valign="top"><td><code>statistic</code></td> <td> <p>the value of the test statistic.</p> </td></tr> <tr valign="top"><td><code>parameter</code></td> <td> <p>the truncation lag parameter.</p> </td></tr> <tr valign="top"><td><code>p.value</code></td> <td> <p>the p-value of the test.</p> </td></tr> <tr valign="top"><td><code>method</code></td> <td> <p>a character string indicating what type of test was performed.</p> </td></tr> <tr valign="top"><td><code>data.name</code></td> <td> <p>a character string giving the name of the data.</p> </td></tr> </table> <h3>Author(s)</h3> <p>A. Trapletti</p> <h3>References</h3> <p>A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry (1993). <em>Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data</em>. Oxford University Press, Oxford. </p> <p>P. Perron (1988). Trends and random walks in macroeconomic time series. <em>Journal of Economic Dynamics and Control</em>, <b>12</b>, 297–332. doi: <a href="https://doi.org/10.1016/0165-1889(88)90043-7">10.1016/0165-1889(88)90043-7</a>. </p> <h3>Examples</h3> <pre> x <- rnorm(1000) PP.test(x) y <- cumsum(x) # has unit root PP.test(y) </pre> <hr /><div style="text-align: center;">[Package <em>stats</em> version 3.6.0 <a href="00Index.html">Index</a>]</div> </body></html>