PPUNIT—Phillips Perron Unit Root Test

[TomDoan]

ppunit.src is a procedure for doing the Phillips-Perron root test. @PPUNIT is part of the Unit Root Tests wizard on the Time Series menu.

Detailed description

[Osabuohien247]

Good day,

Just like we have adfautoselect for ADF lag selection, can i find any code in RATS for Phillips-Perron (PP) bandwidth or lag selections?

Thank you

[TomDoan]

There really is none, as there is nothing to optimize over. As it says in the discussion of the procedure, you can do a sensitivity table which where the statistics will generally stabilize when the number of lags is adequate.

Note, however, that the Phillips-Perron test is generally inferior to the ADF. The only cases where it works better are rare in practice.