Work

Unit-root Tests Based on Forward and Reverse Dickey–Fuller Regressions

Year: 2018

Type: article

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.

Source: The Stata Journal Promoting communications on statistics and Stata

DOI: 10.1177/1536867x1801800103

Authors: Jesús Otero, Christopher F. Baum

Institutions: Universidad del Rosario, Boston College

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: Boston College, University of Warwick, Universidad del Rosario

OpenAlex ID: W2868867745

FWCI: 0.481

Cites: 12

Cited by: 16

Related to: 10