Powerful new tools for time series analysis
AbstractElliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of Economic Studies paper (2006) illustrates how tests for parameter constancy and tests for a unknown break process can be unified to produce a single efficient test for stability of the regression function. I will discuss and demonstrate a Stata implementation of the test.
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Bibliographic InfoPaper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2007 with number 7.
Date of creation: 15 Aug 2007
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
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