| % File src/library/stats/man/pp.test.Rd |
| % Part of the R package, https://www.R-project.org |
| % Copyright 1995-2018 R Core Team |
| % Distributed under GPL 2 or later |
| |
| \name{PP.test} |
| \alias{PP.test} |
| \title{Phillips-Perron Test for Unit Roots} |
| \usage{ |
| PP.test(x, lshort = TRUE) |
| } |
| \arguments{ |
| \item{x}{a numeric vector or univariate time series.} |
| \item{lshort}{a logical indicating whether the short or long version |
| of the truncation lag parameter is used.} |
| } |
| \description{ |
| Computes the Phillips-Perron test for the null hypothesis that |
| \code{x} has a unit root against a stationary alternative. |
| } |
| \details{ |
| 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} the Newey-West estimator is used. If \code{lshort} |
| is \code{TRUE}, then the truncation lag parameter is set to |
| \code{trunc(4*(n/100)^0.25)}, otherwise |
| \code{trunc(12*(n/100)^0.25)} is used. The p-values are |
| interpolated from Table 4.2, page 103 of Banerjee \emph{et al} |
| (1993). |
| |
| Missing values are not handled. |
| } |
| \value{ |
| A list with class \code{"htest"} containing the following components: |
| \item{statistic}{the value of the test statistic.} |
| \item{parameter}{the truncation lag parameter.} |
| \item{p.value}{the p-value of the test.} |
| \item{method}{a character string indicating what type of test was |
| performed.} |
| \item{data.name}{a character string giving the name of the data.} |
| } |
| \references{ |
| A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry (1993). |
| \emph{Cointegration, Error Correction, and the Econometric Analysis |
| of Non-Stationary Data}. |
| Oxford University Press, Oxford. |
| |
| P. Perron (1988). |
| Trends and random walks in macroeconomic time series. |
| \emph{Journal of Economic Dynamics and Control}, \bold{12}, 297--332. |
| \doi{10.1016/0165-1889(88)90043-7}. |
| } |
| \author{A. Trapletti} |
| \examples{ |
| x <- rnorm(1000) |
| PP.test(x) |
| y <- cumsum(x) # has unit root |
| PP.test(y) |
| } |
| \keyword{ts} |