PP.test(x, lshort = TRUE)
x
| a numeric vector or univariate time series. |
lshort
| a logical indicating whether the short or long version of the truncation lag parameter is used. |
x
has a unit root.sigma^2
the Newey-West estimator is used. If lshort
is TRUE
, then the truncation lag parameter is set to
trunc(4*(n/100)^0.25)
, otherwise
trunc(12*(n/100)^0.25)
is used. The p-values are
interpolated from Table 4.2, p. 103 of Banerjee et al.
(1993).
Missing values are not handled.
"htest"
containing the following components:
statistic
| the value of the test statistic. |
parameter
| the truncation lag parameter. |
p.value
| the p-value of the test. |
method
| a character string indicating what type of test was performed. |
data.name
| a character string giving the name of the data. |
P. Perron (1988): Trends and Random Walks in Macroeconomic Time Series. Journal of Economic Dynamics and Control 12, 297-332.
x <- rnorm(1000) PP.test(x) y <- cumsum(x) # has unit root PP.test(y)