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PPUNIT—Phillips Perron Unit Root Test
Posted: Fri Aug 30, 2019 2:14 pm
by 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
ADF test
Posted: Wed May 27, 2020 1:00 pm
by 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
Re: PPUNIT—Phillips Perron Unit Root Test
Posted: Thu May 28, 2020 9:27 am
by 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.