[R] Re: R-help Digest V2 #710
mbalcilar at manas.kg
Wed Apr 24 07:22:30 CEST 2002
PP test uses an estimate of the spectral density at frequency 0. For
nonstationary processes this is an ill-posed estimation problem. This is
another issue with the PP test. As far as I know, the ADF test does not have
Quoting Adrian Trapletti <adrian.trapletti at lmttrading.com>:
> > Date: Mon, 22 Apr 2002 07:21:41 +0000
> > From: "sonchawan tamkaew" <psu17772 at hotmail.com>
> > Subject: [R] PP.test
> > Hello there,
> > I would like to know whether PP.test from library(ts) is appropriate to
> > unit root in financial data (daily)?
> > Thank you for your help.
> > Sonchawan
> In principle yes. However, it is by now a well know fact that the PP test has
> severe size distortions for certain processes (e.g. integrated MA(1)). A more
> robust alternative in some situations is the Augmented-Dickey-Fuller test
> which is provided by tseries (see adf.test).
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