urcovar performs the test for a unit root in depvar in the context of one or more stationary covariates (listed in varlist) which was proposed by Elliott and Jansson (J. Econometrics, 2003) as a generalization of the CADF test of Hansen (Econometric Thy., 1995). The Elliott-Jansson test constructs a VAR in the model of the stationary covariates and the quasi-difference of depvar. As in the Dickey-Fuller (dfuller) or Elliott-Rothenberg-Stock DF-GLS (dfgls) unit root tests, the model can include no deterministic terms, constants or constants and time trends.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456863.
Size: Programming language: Stata Requires: Stata version 9.2 Date of creation: 13 Aug 2007 Date of revision:
16 Sep 2007 Handle: RePEc:boc:bocode:s456863
Note: This module may be installed from within Stata by typing "ssc install urcovar". Windows users should not attempt to download these files with a web browser. Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC