English, Article edition: URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/174948
Physical Description
  • code
Language
  • English

Edition details

Title
  • URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • urcovar performs the test for a unit root in depvar in the context of one or more stationary covariates (listed in varlist) which was proposed by Elliott and Jansson (J. Econometrics, 2003) as a generalization of the CADF test of Hansen (Econometric Thy., 1995). The Elliott-Jansson test constructs a VAR in the model of the stationary covariates and the quasi-difference of depvar. As in the Dickey-Fuller (dfuller) or Elliott-Rothenberg-Stock DF-GLS (dfgls) unit root tests, the model can include no deterministic terms, constants or constants and time trends.
  • time-series data, unit root, stationary covariates
  • RePEc:boc:bocode:s456863
Language
  • English
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