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DFAO: Stata module to perform Dickey-Fuller unit root test in the presence of additive outliers

Author

Listed:
  • Richard Sperling

    (The Ohio State University)

Programming Language

Stata

Abstract

dfao is an extension of the dfuller routine in Stata. It performs the D-F unit root test when the data have additive outliers, or temporary one-time shocks. Such outliers give rise to moving average errors with negative coefficients and these in turn result in oversized unit root tests. The method employed here follows Vogelsang (1999). dfao also serves as a replacement for dfuller. Unlike the latter routine, DFAO conducts an automatic sequential t-test to determine the lag length to use in the DF regression (this test can be suppressed). Additionally, dfao calculates response surface critical values using the equations in Cheung and Lai (1995). dfao is for use with version 7.0 of Stata. This is version 1.0.7 of the software.

Suggested Citation

  • Richard Sperling, 2001. "DFAO: Stata module to perform Dickey-Fuller unit root test in the presence of additive outliers," Statistical Software Components S422901, Boston College Department of Economics, revised 01 Jun 2002.
    • Handle: RePEc:boc:bocode:s422901
    Note: This module may be installed from within Stata by typing "ssc install dfao". 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/d/dfao.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/d/dfao.hlp
    File Function: help file
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