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DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Richard Sperling

    () (The Ohio State University)

Abstract

dfgls performs the Elliott-Rothenberg-Stock (ERS, 1996) efficient test for an autoregressive unit root. This test is similar to an (augmented) Dickey-Fuller "t" test, as performed by dfuller, but has the best overall performance in terms of small-sample size and power, dominating the ordinary Dickey-Fuller test. The code has been revised to calculate the optimal lag length using a sequential t-test (Ng and Perron, 1995), the SC and the AIC. This is version 1.3.10 of the software, updated from that published in STB-58. This version uses doubles throughout, improved critical values from response surface estimation, corrects an error in the calculation of the Schwarz criterion, corrects an error in the use of initial missing observations, and adds the MAIC criterion (Ng and Perron 2001), which is much more appropriate than SC or AIC in the presence of negative moving average components. It also adds an option to save the residuals from detrending (demeaning). dfgls is now a part of official Stata version 8, and routine dfgls2 (for Stata 8; q.v.) adds the capability to estimate the test on a single unit of a panel.

Suggested Citation

  • Christopher F Baum & Richard Sperling, 2000. "DFGLS: Stata module to compute Dickey-Fuller/GLS unit root test," Statistical Software Components S410001, Boston College Department of Economics, revised 16 Dec 2001.
  • Handle: RePEc:boc:bocode:s410001
    Note: This module may be installed from within Stata by typing "ssc install dfgls". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/d/dfgls.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/d/dfgls.hlp
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    Keywords

    timeseries; unit root; Dickey-Fuller;

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