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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

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.

Suggested Citation

  • Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00066
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/erstest.src
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    More about this item

    Keywords

    Unit root tests; RATS;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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