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An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution

Author

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  • Guerrero de Lizardi, Carlos

    (Tecnológico de Monterrey, Campus Ciudad de México)

Programming Language

Abstract

We present an Eviews program to run a Monte Carlo experiment. We use as example a Dickey-Fuller distribution. The proposed program is easier to put into practice than the code designed by, among others, Brooks (2002) or Fantazzini (2007). A short note about the Monte Carlo method is included. At the end we compare our critical values with the ones in Brooks (2002), Charemza and Deadman (1992), Enders (2004), and Patterson (2000).

Suggested Citation

  • Guerrero de Lizardi, Carlos, 2011. "An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution," EGAP Computer Code 2011-01, Tecnológico de Monterrey, Campus Ciudad de México.
    • Handle: RePEc:ega:comcod:201101
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/EViewsDF.docx
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    More about this item

    Keywords

    Monte Carlo method; EViews; Dickey-Fuller;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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