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I would need 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?

I had a look here and here, but this only offers alternative approaches to my problem, where I would need a perron test for my article..

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    $\begingroup$ Could you give a reference for the PP test with an exogenous break? $\endgroup$ Apr 27, 2016 at 14:07
  • $\begingroup$ Equation 4 on p.6 ro.uow.edu.au/cgi/… $\endgroup$ Apr 27, 2016 at 15:11

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I think what your a looking for is a test like performed in Perron, P. (1989), “The great crash, the oil price shock, and the unit root hypothesis”, Econometrica , 57, pp.1361-1401 allowing for one structural break. I know that it is implemented in Eviews but I do not know if there is some R package that performs this test. José

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