ADF Z Test & Phillips Perron

[ba79B]

Hi,
The procedure URADF.SRC computes a statistic called "Augmented
Dickey Fuller Z-Test". Can anybody tell me what this Z-test is all
about ? Is it equivalent to the Phillips-Perron Z statistics ?
Thank you for your answers.

[TomDoan]

It's the "rho" test or "Z-rho" test. In Hamilton, it's computed using formula [17.7.35]. Yes, there's a variant of it in both the Dickey-Fuller and Phillips-Perron, though they're not "equivalent". It's rarely used as the t-test form seems to have better properties.

[ba79B]

Thanks for your answer.