[ADF, ADFRESID, DF, DFRESID] = UNITROOT (SERIES) tests the null hypothesis of the existence of a unit root in SERIES and returns matrix ADF with the results for the Augmented Dickey-Fuller regression with the highest number of augmented terms (dlags), if any, significant at the 10% level, vector ADFRESID with the residuals of the ADF regression, matrix DF with the results for the Dickey-Fuller regression, and vector DFRESID with the residuals of the DF regression.
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
T871806.
Size: 157 lines Programming language: MATLAB Requires: MATLAB Statistics Toolbox (function files NORMCDF.M and TCDF.M) and the author's function files ADFREG.M, DFCRIT.M, DURBINH.M, DWATSON.M, and PHILLIPS.M. Date of creation: 07 Jun 1998 Date of revision: Handle: RePEc:boc:bocode:t871806
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