English, Article edition: UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests Ludwig Kanzler

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Bookmark: http://trove.nla.gov.au/version/174794
Physical Description
  • code
Language
  • English

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Title
  • UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests
Author
  • Ludwig Kanzler
Physical Description
  • code
Notes
  • [ADF, ADFRESID, DF, DFRESID] =​ UNITROOT (SERIES) tests the null hypothesis of the existence of a unit root in SERIES and returns matrix ADF with the results for the Augmented Dickey-Fuller regression with the highest number of augmented terms (dlags), if any, significant at the 10% level, vector ADFRESID with the residuals of the ADF regression, matrix DF with the results for the Dickey-Fuller regression, and vector DFRESID with the residuals of the DF regression.
  • RePEc:boc:bocode:t871806
Language
  • English
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