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"The Phillips-Perron (PP) unit root tests differ from the ADF tests mainly in how they deal with serial correlation and heteroskedasticity in the errors." Zivot (2005) Modelling Financial Time Series with S-PLUS.

I am wondering whether I should test for serial correlation and heteroskedasticity in any shape or form in a time series I am studying, and use the results to determine whether the root tests are valid or not, and whether I should prefer some tests over others.

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