Hello everyone, is a Phillips-Peron test available in Julia? If not, when will one be available? I have searched but can’t find one.
I’m working with heteroskedastic data, so the ADF test isn’t adequate, and replacing Julia’s ADF test with RCall for R’s PP.test makes execution time much too slow (it increased my function’s runtime by a whopping factor of 13, which I timed using the BenchmarkTools package).