PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes one of the Phillips-Perron modifications to the Dickey-Fuller unit root tests. Phillips(1987), "Time Series Regressions with a Unit Root", Econometrica, pp. 277-301. Phillips and Perron(1988), "Testing for a Unit Root in Time Series Regressions", Biometrika, 1988.

Language: RATS
Requires: RATS 7.30
Keywords: Unit root tests; Phillips-Perron test (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/ppunit.src (text/plain)

Related works:
Journal Article: Time Series Regression with a Unit Root (1987)
Working Paper: Testing for a Unit Root in Time Series Regression (1987)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00160

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