Advanced Search
MyIDEAS: Login to save this software component or follow this series

ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests


Author Info

  • Tom Doan


Registered author(s):


This implements the DFGLS, PT, DFGLSu and QT tests for unit roots due to Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, 813-836 and Elliott(1999), "Efficient Tests for a Unit Root When the Initial Observation is Drawn from its Unconditional Distribution", International Economic Review, vol 40, 767-783.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00066.

as in new window
Programming language: RATS
Requires: RATS 7.30
Date of creation:
Date of revision:
Handle: RePEc:boc:bocode:rts00066

Note: RPF and SRC files are plain text. See
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Web page:
More information through EDIRC

Order Information:

Related research

Keywords: Unit root tests;

Other versions of this item:

Find related papers by JEL classification:


This item is featured on the following reading lists or Wikipedia pages:
  1. Wikipedia talk:Articles for creation/ADF-GLS in Wikipedia English ne '')


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rts00066. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.