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

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Overview

journal

• Stata Journal

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.

authors

• Otero Cardona, Jesús Gilberto
• Christopher F. Baum

publication date

• 2018-1-1

edition

• 18

Research

keywords

• Dependent
• Economics
• Observation
• Regression
• Reverse
• Statistic
• Statistics
• Unit Root
• Unit Root Tests

Identity

International Standard Serial Number (ISSN)

• 1536-867X

Additional Document Info

number of pages

• 7

start page

• 22

end page

• 28