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

Jesús Otero; Christopher F. Baum

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

Jesús Otero, Christopher F. Baum

Universidad del Rosario

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

6 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	22-28
Número de páginas	7
Publicación	Stata Journal
Volumen	18
N.º	1
Estado	Publicada - ene. 1 2018

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Matemáticas (miscelánea)

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

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