Merge pull request #398 from bashtage/reg-results-pp

ENH: Add regression results to Phillips-Perron test

arch/tests/unitroot/test_unitroot.py

@@ -150,6 +150,12 @@ def test_pp(self):
         assert_almost_equal(pp.stat, -108.1552688, DECIMAL_2)
         pp.summary()
 
+    def test_pp_regression(self):
+        pp = PhillipsPerron(self.inflation, lags=12)
+        reg = pp.regression
+        assert len(reg.params) == 2
+        assert "(HAC) using 12 lags" in str(reg.summary())
+
     def test_pp_bad_type(self):
         pp = PhillipsPerron(self.inflation, lags=12)
         with pytest.raises(ValueError):

arch/unitroot/unitroot.py

@@ -1098,6 +1098,7 @@ def __init__(
         self._stat_tau = None
         self._test_name = "Phillips-Perron Test"
         self._lags = lags
+        self._regression = None
 
     def _check_specification(self) -> None:
         trend_order = len(self._trend) if self._trend not in ("n", "nc") else 0
@@ -1126,6 +1127,7 @@ def _compute_statistic(self) -> None:
             rhs = add_trend(rhs, trend)
 
         resols = OLS(lhs, rhs).fit()
+        self._regression = OLS(lhs, rhs).fit(cov_type="HAC", cov_kwds={"maxlags": lags})
         k = rhs.shape[1]
         n, u = resols.nobs, resols.resid
         if u.shape[0] < lags:
@@ -1189,6 +1191,17 @@ def test_type(self, value: str) -> None:
         self._reset()
         self._test_type = value
 
+    @property
+    def regression(self) -> RegressionResults:
+        """
+        Returns OLS regression results for the specification used in the test
+
+        The results returned use a Newey-West covariance matrix with the same
+        number of lags as are used in the test statistic.
+        """
+        self._compute_if_needed()
+        return self._regression
+
 
 class KPSS(UnitRootTest, metaclass=AbstractDocStringInheritor):
     """