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...

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Bibliographic Details
Published inThe Stata journal Vol. 18; no. 1; pp. 22 - 28
Main Authors Otero, Jesús, Baum, Christopher F.
Format Journal Article
LanguageEnglish
Published Los Angeles, CA SAGE Publications 01.03.2018
Subjects
st0511
adfmaxur
critical values
unit-root test
lag length
p-values
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Summary: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.
ISSN:1536-867X
1536-8734
DOI:10.1177/1536867X1801800103