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

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...

Full description

Autores:

Tipo de recurso:

Fecha de publicación:

2018

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23330

Acceso en línea:

https://repository.urosario.edu.co/handle/10336/23330

Palabra clave:

Adfmaxur
Critical values
Lag length
P-values
St0511
Unit-root test

Rights

License

Abierto (Texto Completo)