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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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.

Suggested Citation

  • Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00160
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/ppunit.src
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