Powerful new tools for time series analysis
Elliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of Economic Studies paper (2006) illustrates how tests for parameter constancy and tests for a unknown break process can be unified to produce a single efficient test for stability of the regression function. I will discuss and demonstrate a Stata implementation of the test.
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