The R Project SVN R

Rev

Rev 86303 | Show entire file | Ignore whitespace | Details | Blame | Last modification | View Log | RSS feed

Rev 86303 Rev 88563
Line 1... Line 1...
1 
% File src/library/stats/man/pp.test.Rd
 1 
% File src/library/stats/man/pp.test.Rd
2 
% Part of the R package, https://www.R-project.org
 2 
% Part of the R package, https://www.R-project.org
3 
% Copyright 1995-2018 R Core Team
 3 
% Copyright 1995-2025 R Core Team
4 
% Distributed under GPL 2 or later
 4 
% Distributed under GPL 2 or later
5 
 
 5 
 
6 
\name{PP.test}
 6 
\name{PP.test}
7 
\alias{PP.test}
 7 
\alias{PP.test}
8 
\title{\I{Phillips}-\I{Perron} Test for Unit Roots}
 8 
\title{\I{Phillips}-\I{Perron} Test for Unit Roots}
Line 25... Line 25...
25 
  \code{sigma^2} the \I{Newey}-\I{West} estimator is used.  If \code{lshort}
 25 
  \code{sigma^2} the \I{Newey}-\I{West} estimator is used.  If \code{lshort}
26 
  is \code{TRUE}, then the truncation lag parameter is set to
 26 
  is \code{TRUE}, then the truncation lag parameter is set to
27 
  \code{trunc(4*(n/100)^0.25)}, otherwise
 27 
  \code{trunc(4*(n/100)^0.25)}, otherwise
28 
  \code{trunc(12*(n/100)^0.25)} is used.  The p-values are
 28 
  \code{trunc(12*(n/100)^0.25)} is used.  The p-values are
29 
  interpolated from Table 4.2, page 103 of
 29 
  interpolated from Table 4.2, page 103 of
30 
  \bibcite{Banerjee \abbr{et al.}\sspace(1993)}.
 30 
  \bibcitet{R:Banerjee+Dolado+Galbraith:1993}.
31 
 
 31 
 
32 
  Missing values are not handled.
 32 
  Missing values are not handled.
33 
}
 33 
}
34 
\value{
 34 
\value{
35 
  A list with class \code{"htest"} containing the following components:
 35 
  A list with class \code{"htest"} containing the following components:
Line 39... Line 39...
39 
  \item{method}{a character string indicating what type of test was
 39 
  \item{method}{a character string indicating what type of test was
40 
    performed.}
 40 
    performed.}
41 
  \item{data.name}{a character string giving the name of the data.}
 41 
  \item{data.name}{a character string giving the name of the data.}
42 
}
 42 
}
43 
\references{
 43 
\references{
44 
  A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry (1993).
 - 
 
45 
  \emph{Cointegration, Error Correction, and the Econometric Analysis
 - 
 
46 
    of Non-Stationary Data}.
 - 
 
47 
  Oxford University Press, Oxford.
 - 
 
48 
 
 - 
 
49 
  P. Perron (1988).
 44 
  \bibshow{*, R:Perron:1988}
50 
  Trends and random walks in macroeconomic time series.
 - 
 
51 
  \emph{Journal of Economic Dynamics and Control}, \bold{12}, 297--332.
 - 
 
52 
  \doi{10.1016/0165-1889(88)90043-7}.
 - 
 
53 
}
 45 
}
54 
\author{A. Trapletti}
 46 
\author{A. Trapletti}
55 
\examples{
 47 
\examples{
56 
x <- rnorm(1000)
 48 
x <- rnorm(1000)
57 
PP.test(x)
 49 
PP.test(x)