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GLSDETREND: RATS procedure to perform local to unity GLS detrending

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  • Tom Doan

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    (Estima)

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Abstract

Local to unity GLS detrending routine. Includes the ERS cases (no constant, constant, constant and trend) as well as the Perron and Rodriguez cases (constant and trend with a single break). This just does the detrending, not the actual unit root test(s). Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, pp 813-836. Perron and Rodriguez(2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.

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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00077.

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Programming language: RATS
Requires: RATS 7.00
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Handle: RePEc:boc:bocode:rts00077

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Keywords: Unit root tests;

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