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ADFREG: MATLAB module to calculate augmented Dickey-Fuller regression

Author

Listed:
  • Ludwig Kanzler

Programming Language

MATLAB

Abstract

[BETA, SE, T, TSIG, RESID, RSS, SIGMA] = ADFREG (SERIES, DLAGS) runs and evaluates a Dickey-Fuller (1979) type OLS regression on SERIES with the number of augmented terms (differenced lags) given by DLAGS (default is 0).

Suggested Citation

  • Ludwig Kanzler, 1998. "ADFREG: MATLAB module to calculate augmented Dickey-Fuller regression," Statistical Software Components T871801, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t871801
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    File URL: http://fmwww.bc.edu/repec/bocode/a/adfreg.m
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    Keywords

    MATLAB;

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