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ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests

  • Tom Doan

    ()

    (Estima)

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This implements the DFGLS, PT, DFGLSu and QT tests for unit roots due to Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, 813-836 and Elliott(1999), "Efficient Tests for a Unit Root When the Initial Observation is Drawn from its Unconditional Distribution", International Economic Review, vol 40, 767-783.

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File URL: http://www.estima.com/procs_perl/erstest.src
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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00066.

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Programming language: RATS
Requires: RATS 7.30
Date of creation:
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Handle: RePEc:boc:bocode:rts00066
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Web page: http://fmwww.bc.edu/EC/Email:


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