I would like to do a Philips-Perron test in R, while controlling for an exogenous break.
I found the Philips-Perron test in the package tseries
(PP.test
), but can't find (contrary to the CADF test) how to extend this test to control for an exogenous break. I'm not a programming expert, is there a way to easily include this in this test in R?
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