\name{PP.test}
\alias{PP.test}
\title{Phillips-Perron Unit Root Test}
\usage{
PP.test(x, lshort = TRUE)
}
\arguments{
  \item{x}{a numeric vector or univariate time series.}
  \item{lshort}{a logical indicating whether the short or long version
    of the truncation lag parameter is used.}
}
\description{
  Computes the Phillips-Perron test for the null hypothesis that
  \code{x} has a unit root against a stationary alternative.
}
\details{
  The general regression equation which incorporates a constant and a
  linear trend is used and the corrected t-statistic for a first order
  autoregressive coefficient equals one is computed.  To estimate
  \code{sigma^2} the Newey-West estimator is used.  If \code{lshort}
  is \code{TRUE}, then the truncation lag parameter is set to
  \code{trunc(4*(n/100)^0.25)}, otherwise
  \code{trunc(12*(n/100)^0.25)} is used.  The \eqn{p}-values are
  interpolated from Table 4.2, page 103 of Banerjee \emph{et al.}
  (1993).
  
  Missing values are not handled.
}
\value{
  A list with class \code{"htest"} containing the following components:
  \item{statistic}{the value of the test statistic.}
  \item{parameter}{the truncation lag parameter.}
  \item{p.value}{the \eqn{p}-value of the test.}
  \item{method}{a character string indicating what type of test was
    performed.} 
  \item{data.name}{a character string giving the name of the data.}
}
\references{
  A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry (1993)
  \emph{Cointegration, Error Correction, and the Econometric Analysis
    of Non-Stationary Data}, Oxford University Press, Oxford.
  
  P. Perron (1988) Trends and random walks in macroeconomic time
  series. \emph{Journal of Economic Dynamics and Control} \bold{12},
  297--332.
}
\author{A. Trapletti}
\examples{
x <- rnorm(1000)
PP.test(x)
y <- cumsum(x) # has unit root
PP.test(y)
}
\keyword{ts}
