PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test
AbstractComputes 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00160.
Programming language: RATS
Requires: RATS 7.30
Date of creation:
Date of revision:
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
Other versions of this item:
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.