IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s410001.html
 

DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Richard Sperling

    (The Ohio State University)

Programming Language

Stata

Abstract

dfgls performs the Elliott-Rothenberg-Stock (ERS, 1996) efficient test for an autoregressive unit root. This test is similar to an (augmented) Dickey-Fuller "t" test, as performed by dfuller, but has the best overall performance in terms of small-sample size and power, dominating the ordinary Dickey-Fuller test. The code has been revised to calculate the optimal lag length using a sequential t-test (Ng and Perron, 1995), the SC and the AIC. This is version 1.3.10 of the software, updated from that published in STB-58. This version uses doubles throughout, improved critical values from response surface estimation, corrects an error in the calculation of the Schwarz criterion, corrects an error in the use of initial missing observations, and adds the MAIC criterion (Ng and Perron 2001), which is much more appropriate than SC or AIC in the presence of negative moving average components. It also adds an option to save the residuals from detrending (demeaning). dfgls is now a part of official Stata version 8, and routine dfgls2 (for Stata 8; q.v.) adds the capability to estimate the test on a single unit of a panel.

Suggested Citation

  • Christopher F Baum & Richard Sperling, 2000. "DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test," Statistical Software Components S410001, Boston College Department of Economics, revised 16 Dec 2001.
    • Handle: RePEc:boc:bocode:s410001
    Note: This module may be installed from within Stata by typing "ssc install dfgls". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/dfgls.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dfgls.hlp
    File Function: help file
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Le Dang Trung & Tran Ngo Minh Tam & Bob Baulch & Henrik Hansen, 2007. "Testing for Food market integration: A study of the Vietnamese paddy market," Working Papers 11, Development and Policies Research Center (DEPOCEN), Vietnam.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s410001. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.