Performs the Schmidt and Phillips unit root test, where under the Null
and Alternative Hypothesis the coefficients of the deterministic
variables are included.
Significance level for the critical value of the test statistic.
Author
Bernhard Pfaff
Details
Under the Null and the Alternative hypothesis the coefficients of the
deterministic part of the test regression are included. Two test types
are available: the rho-test and the tau-test.
Both test are extracted from the LM principle.
References
Schmidt, P. and Phillips, P.C.B. (1992), LM Test for a Unit Root in
the Presence of Deterministic Trends, Oxford Bulletin of Economics and
Statistics, 54(3), 257--287.