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DFSUMMARY: Stata module to compute the (Augmented) Dickey-Fuller unit-root test and reports a summary table for different lags

Author

Listed:
  • Maximo Sangiacomo

    (Banco Central de la República Argentina)

Programming Language

Stata

Abstract

dfsummary performs the augmented Dickey-Fuller test that a variable follows a unit-root process. The null hypothesis is that the variable contains a unit root, and the alternative is that the variable was generated by a stationary process. You may optionally exclude the constant, include a trend term, include seasonal dummies and include lagged values of the difference of the variable in the regression. dfsummary reports a summary table for different lags of the difference of the variable in the regression.

Suggested Citation

  • Maximo Sangiacomo, 2013. "DFSUMMARY: Stata module to compute the (Augmented) Dickey-Fuller unit-root test and reports a summary table for different lags," Statistical Software Components S457687, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457687
    Note: This module should be installed from within Stata by typing "ssc install dfsummary". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/dfsummary.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dfsummary.sthlp
    File Function: help file
    Download Restriction: no
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