IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s458836.html
 

RADF: Stata module to calculate unit root tests for explosive behaviour

Author

Listed:
  • Jesús Otero

    (Universidad del Rosario)

  • Christopher F Baum

    (Boston College
    DIW Berlin)

Programming Language

Stata

Abstract

radf computes the right-tail augmented Dickey-Fuller (1979) (ADF) unit root test, and its further developments based on supremum statistics derived from ADF-type regressions estimated using recursive windows (Phillips, Wu and Yu, 2011) and recursive flexible windows (Phillips, Shi and Yu, 2015). The command allows for the number of lags of the dependent variable in the test regression and the width of rolling windows to be either specified by the user or determined using data-dependent procedures. Also, it allows for the implementation of the date-stamping procedures advocated by Phillips, Wu and Yu (2011) and Phillips, Shi and Yu (2015) to identify episodes of explosive behaviour.

Suggested Citation

  • Jesús Otero & Christopher F Baum, 2020. "RADF: Stata module to calculate unit root tests for explosive behaviour," Statistical Software Components S458836, Boston College Department of Economics, revised 30 Jan 2022.
    • Handle: RePEc:boc:bocode:s458836
    Note: This module should be installed from within Stata by typing "ssc install radf". 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/r/radf.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/radf0.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/radf.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/radf.mtx
    File Function: lookup file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rall_bsadf.mtx
    File Function: lookup file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rgsadf.mtx
    File Function: lookup file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/rsadf.mtx
    File Function: lookup file
    Download Restriction: no
    ---><---

    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:s458836. 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.