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An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution

  • Guerrero de Lizardi, Carlos


    (Tecnológico de Monterrey, Campus Ciudad de México)

We present an Eviews program to run a Monte Carlo experiment. We use as example a Dickey-Fuller distribution. The proposed program is easier to put into practice than the code designed by, among others, Brooks (2002) or Fantazzini (2007). A short note about the Monte Carlo method is included. At the end we compare our critical values with the ones in Brooks (2002), Charemza and Deadman (1992), Enders (2004), and Patterson (2000).

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Software component provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Computer Code with number 2011-01.

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Date of creation: Jan 2011
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Handle: RePEc:ega:comcod:201101
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