PHILLIPS: MATLAB module to calculate Phillips-Perron test of the unit-root hypothesis

Ludwig Kanzler ()

Statistical Software Components from Boston College Department of Economics

Abstract: [TPP, TPPSIG] = PHILLIPS (SE2, T2, RESID, RSS, SIGMA, OBS) computes the Phillips-Perron (Phillips, 1987, Phillips & Perron, 1988) autocorrelation/heteroskedasticity corrected t-ratio TPP on the unit-root coefficient in a Dickey-Fuller or an Augmented Dickey-Fuller (1979) regression, and evaluates its significance level TPPSIG.

Language: MATLAB
Requires: The author's DFCRIT function.
Date: 1998-04-06

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http://fmwww.bc.edu/repec/bocode/p/phillips.m program code (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t871805

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