Hello,
I have a few questions about & Ouliaris Unit Root Test of type Pz
1) I noticed that critical values given in the article "Asymptotic
properties of residual..." by Phillips and Ouliaris are different from
those given by R. More presicely - they are swaped with each other. Could
explain why?
2) that question is quite stupid. Can you explain what coefficients for test Pz
mean?
for Pu it is straight-forward - Var1~ Var2*k1 + intercept +u. and u is
tested for having a unit root.
for Pz there it looks like
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.010013 0.002409 4.156 3.40e-05 ***
zrV1 0.971824 0.006092 159.536 < 2e-16 ***
zrV2 0.108994 0.047737 2.283 0.0225 *
is it an equation for first differences? like if zrV1 is the first differ for V1
and zrV2 is the first diff for zrV2 then
k1*zrV1+k2*zrV2+intercept~0 ???
3) and the last question - why for Pz there is an option to use
demean="trend" and there is no such an option for Pu?
Kind regards,
Victor
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