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URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates


  • Christopher F Baum

    () (Boston College)


urcovar performs the test for a unit root in depvar in the context of one or more stationary covariates (listed in varlist) which was proposed by Elliott and Jansson (J. Econometrics, 2003) as a generalization of the CADF test of Hansen (Econometric Thy., 1995). The Elliott-Jansson test constructs a VAR in the model of the stationary covariates and the quasi-difference of depvar. As in the Dickey-Fuller (dfuller) or Elliott-Rothenberg-Stock DF-GLS (dfgls) unit root tests, the model can include no deterministic terms, constants or constants and time trends.

Suggested Citation

  • Christopher F Baum, 2007. "URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates," Statistical Software Components S456863, Boston College Department of Economics, revised 16 Sep 2007.
  • Handle: RePEc:boc:bocode:s456863
    Note: This module should be installed from within Stata by typing "ssc install urcovar". Windows users should not attempt to download these files with a web browser.

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