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PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes one or more of the Perron-Ng "M" unit root tests. Perron and Ng(1996), "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties", Review of Economic Studies, vol 63, 435-463.

Suggested Citation

  • Tom Doan, "undated". "PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests," Statistical Software Components RTS00155, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00155
    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/perronngmtests.src
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    Keywords

    Unit root tests; RATS;

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