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).
I don’t know anything about this, unfortunately, but if you find it it should probably be in / be added to HypothesisTests package · HypothesisTests.jl (which I assume you’re aware of).
@ crstnbr Thank you for responsding. That package is where the ADF test lives, but no PP test that I could find, there or elsewhere.
To answer the question “when will one be available”: whenever someone steps up to write an implementation - this seems like a good opportunity to contribute to HypothesisTests!
Adding to that, it seems to be a low hanging fruit. Just follow the approach in the ADF test already in there.
Thank you for your responses.
I appreciate the DIY attitude of a new language, so I’ll take a shot at it. But I’m brand new to Julia, so it might take a while.