Phillips-Perron unit-root test
[result]=phil_perr(namey,p,l,np,arg1,...,argn)
* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
* p = order of time polynomial in the null-hypothesis
-p = 0, for constant term
-p = 1, for constant plus time-trend
* l= (optional) truncation lag of the Newey-West window default: l = floor(5*nobs^0.25)
* result tlist with:
- result('meth') = 'phillips-perron'
- result('y') = y data vector
- result('x') = x data matrix
- result('nobs') = nobs
- result('nvar') = nvars
- result('beta') = bhat
- result('yhat') = yhat
- result('resid') = residuals
- result('vcovar') = estimated variance-covariance matrix of beta
- result('sige') = estimated variance of the residuals
- result('sige') = estimated variance of the residuals
- result('ser') = standard error of the regression
- result('tstat') = t-stats
- result('pvalue') = pvalue of the betas
- result('dw') = Durbin-Watson Statistic
- result('condindex') = multicolinearity cond index
- result('prescte') = boolean indicating the presence or absence of a constant in the regression
- result('rsqr') = rsquared
- result('rbar') = rbar-squared
- result('f') = F-stat for the nullity of coefficients other than the constant
- result('pvaluef') = its significance level
- result('zalpha') = Phillips-Peron statistic, autocorrelation/heteroskedasticity corrected value for the unit-root coefficient based on a Dickey-Fuller regression
- result('zt') = Phillips-Peron statistic, autocorrelation/heteroskedasticity corrected t-ratio for the unit-root coefficient based on a Dickey-Fuller regression
- result('crit_al') = (3 x 1) vector of critical values [1% 5% 10%] quintiles for zalpha
- result('crit_t') = (3 x 1) vector of critical values [1% 5% 10%] quintiles for zt
load(GROCERDIR+'/data/bdhenderic.dat'); bounds('1964q3','1989q2'); r=phil_perr('lm1',0,15) r=phil_perr('lm1',1) // Examples taken from fucntion phil_perr_d. // Example 1 provides the Phillips-Peron test for variable lm1, whitout trend and with a 15 length for the Newey-West window. // Example 2 provides the Phillips-Peron test for variable lm1, whit trend and with a default length for the Newey-West window. | ![]() | ![]() |