[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.
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
T871805.
Size: 96 lines Programming language: MATLAB Requires: The author's DFCRIT function. Date of creation: 06 Apr 1998 Date of revision: Handle: RePEc:boc:bocode:t871805
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