Phillips-Perron unit root test with prewhitening

[Etienne Wijler]

Hello,

I am trying to perform a PP-test for unit roots on three economic time series (M1,M2,GNP). Following the literature on bandwidth selection (e.g. Cheung and Lai, 1997), I want to perform the PP-test with the use of a prewithened QS-kernel and Andrews bandwidth, where the prewhitening is based on an AR(1) process.

Is this option build in eviews? I know how to programm it in Gauss, but would like to stick to Eviews as much as possible.

If available, a step-by-step explanation would be highly appreciated.

Thank you for your help.

Etienne

[Etienne Wijler]

Anyone?

[Etienne Wijler]

I noticed this option is available for FMOLS estimation of a cointegrating regression, but not for the PP-test.

In my humble opinion, this would be a valuable addition to eviews in a future update.

Greetings,

Etienne

[EViews Glenn]

Thanks for your suggestion. I agree. For your information, the PP code was written a long time before the new FMOLS and as such, doesn't have all of the options of the latter. At some point, we'll go back and update our entire unit root library. Note that for now you can use our series prewhitening as a preprocessor, and then use the coefficients from the procedure to "recolor" the results from the PP test on the prewhitened series.