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URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates


Author Info

  • Christopher F Baum

    (Boston College)


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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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456863.

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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 should 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
Web page:
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Related research

Keywords: time-series data; unit root; stationary covariates;


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