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ERSUR: Stata module to calculate Elliott, Rothenberg & Stock DF-GLS unit root test statistic along with 1, 5 and 10% finite-sample critical values and associated p-values

Author

Listed:
  • Jesús Otero

    (Universidad del Rosario)

  • Christopher F Baum

    (Boston College
    DIW Berlin)

Programming Language

Stata

Abstract

ersur computes Elliott, Rothenberg & Stock ERS (1996) GLS-detrending based unit root tests against the alternative of stationarity. The command accommodates varname with nonzero mean and nonzero trend. Allowance is also made for the lag length to be either fixed (FIXED) or determined endogenously using information criteria such as Akaike and Schwarz, denoted AIC and SIC, respectively. A data-dependent procedure often known as the general-to-specific (GTS) algorithm is also permitted, using significance levels of 5 and 10%, denoted GTS05 and GTS10, respectively; see e.g. Hall (1994). Approximate p-values are also calculated.

Suggested Citation

  • Jesús Otero & Christopher F Baum, 2017. "ERSUR: Stata module to calculate Elliott, Rothenberg & Stock DF-GLS unit root test statistic along with 1, 5 and 10% finite-sample critical values and associated p-values," Statistical Software Components S458323, Boston College Department of Economics, revised 24 Sep 2022.
    • Handle: RePEc:boc:bocode:s458323
    Note: This module should be installed from within Stata by typing "ssc install ersur". 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/e/ersur.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/ersur.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/u/usrates.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/e/ersur.mtx
    File Function: lookup file
    Download Restriction: no
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