Hello
I am testing the null hypothesis of unitroots with the phillips perron test. I have noticed that Stata takes the first diffrence by default when using the ADF meaning one does not have to specify that the first diffrence of the variable is needed --> So no D.VAR. I wondererd if this is the same for the philipps perron test or do i need to type D. var in order to check if the variable is first diffrence stationary?
Also what do the two critical values mean Z(rho), Z(t) which one should be used for the inference?
Thanking anyone for her or his time
Tinsky
I am testing the null hypothesis of unitroots with the phillips perron test. I have noticed that Stata takes the first diffrence by default when using the ADF meaning one does not have to specify that the first diffrence of the variable is needed --> So no D.VAR. I wondererd if this is the same for the philipps perron test or do i need to type D. var in order to check if the variable is first diffrence stationary?
Also what do the two critical values mean Z(rho), Z(t) which one should be used for the inference?
Thanking anyone for her or his time
Tinsky
