Phillips-Perron unit-root test — Ppunit • rmorie

Thin re-export of Pptest, which carries the implementation, the Bartlett long-run variance and the Dickey-Fuller tables. Three modules in this package spelled the same test three different ways; the arithmetic lives in one place so they cannot drift apart.

Usage

Ppunit(y, lags = NULL, kind = "Z(t_alpha)")

Arguments

y: Series in time order.
lags: Bartlett truncation lag; short-lag rule if NULL.
kind: "Z(t_alpha)" or "Z(alpha)".

Value

As Pptest.

References

Phillips and Perron (1988), Biometrika 75:335-346; coded form from tseries::pp.test. See Pptest for the full note.

Examples

D <- data.frame(x = c(1, 2, 3, 4), y = c(2, 4, 5, 9))
Ppunit(D)
#> $statistic
#> [1] -0.8105035
#> 
#> $p_value
#> [1] 0.9484554
#> 
#> $rho
#> [1] 0.1531532
#> 
#> $lags
#> [1] 2
#> 
#> $s2
#> [1] 1.777533
#> 
#> $lambda2
#> [1] 1.645231
#> 
#> $n
#> [1] 7
#> 
#> $method
#> [1] "Phillips-Perron unit root test, Z(t_alpha)"
#> 
#> attr(,"class")
#> [1] "morie_rich_result" "list"