Phillips–Perron test

The Phillips-Perron test is a unit root test. That is, it is used in time series analysis to test the null hypothesis that a time series is I(1). It builds on the Dickey-Fuller test, but unlike the Augmented Dickey-Fuller test, which extends the Dickey-Fuller test by including additional lagged variables as regressors in the model on which the test is based, the Phillips-Perron test makes a non-parametric correction to the t-test statistic to capture the effect of autocorrelation present when the underlying autocorrelation process is not AR(1) and the error terms are not homoscedastic.