Unit-root tests based on forward and reverse Dickey-Fuller regressions

Jesús Otero, Christopher F. Baum

Research output: Contribution to journalArticlepeer-review

Abstract

In this article, we present the command adfmaxur, which computes the Leybourne (1995, Oxford Bulletin of Economics and Statistics 57: 559-571) unit-root statistic for different numbers of observations and the number of lags of the dependent variable in the test regressions. The latter can be either specified by the user or endogenously determined. We illustrate the use of adfmaxur with an empirical example.

Original languageEnglish (US)
Pages (from-to)22-28
Number of pages7
JournalStata Journal
Volume18
Issue number1
StatePublished - Jan 1 2018

All Science Journal Classification (ASJC) codes

  • Mathematics (miscellaneous)

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