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st: Phillips-Perron unit root test

From   Nolan Ritter <>
Subject   st: Phillips-Perron unit root test
Date   Wed, 25 Feb 2009 05:51:52 -0800 (PST)


I would like to employ the Phillips Perron test using the Stata command pperron on a time series of finance data. The output for this test, given on page 184 of Stata's time series manual, includes two test statistics: Z(rho) and Z(t). My main question is whether one test should be preferred over the other, and under what condition? A second question is whether the rho in the output corresponds to the alpha in the original article by Phillips and Perron (1988). 

Any insights would be greatly appreciated.



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