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st: pperron in Stata11: Difference between Z(rho) and Z(t) statistic
From
Charles Koss <[email protected]>
To
[email protected]
Subject
st: pperron in Stata11: Difference between Z(rho) and Z(t) statistic
Date
Mon, 14 Dec 2009 21:51:48 -0600
After, pperron stata produces the Z(rho) and the Z(t) statistic. May
you please clarify me what is the difference? It is my understanding
that the Z(t) statistic corresponds to the null hypothesis of the unit
root.
I read the manual for the version 11 of stata; but it does not clarify.
Thanks,
--
Charles
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