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Robust PP Unit Root Test/Evidence
Method evidence record

Robust PP Unit Root Test

The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Robust Phillips-Perron Unit Root Test
Taxonomic method record · regression-model / econometrics
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. · DOI 10.1093/biomet/75.2.335
  • Cavaliere, G., & Taylor, A. M. R. (2008). Bootstrap unit root tests for time series with nonstationary volatility. Econometric Theory, 24(1), 43–71. · DOI 10.1017/S0266466608080043
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Related methods

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Taxonomic bucketAugmented Dickey-Fuller unit root testmachine-suggested · Relational suggestion, not evidence.Same method familyKPSS Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear PP unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPhillips-Perron unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketRobust ADF Unit Root Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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