WU, S. Lag Length Selection in DF-GLS Unit Root Test. In Communications in Statistics-Simulation and Computation. ISSN 0361-0918, 2010, vol. 39, no. 8, p. 1590-1604.Wu S (2010): Lag Length Selection in DF-GLS Unit Root Test. Communications in Statistics- -Simulation and Computation,...
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 ersur computes Elliott, Rothenberg & Stock ERS (1996) GLS-detrending based unit root tests against the alternative of sta...
unit root testsWe reinvestigate the empirical problem of lag length selection in unit root tests when using the augmented DickeyFuller test based on GLS-detrending. We extend the Ng and Perron (1995) work on this issue by applying the finite sample critical values calculated using the formulae...
Using median-unbiased estimation, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3-5 year half-lives of deviations from PPP. These half-life estimates, however, are based on estimates from regressions where the resulting unit root test has low power. We extend...
This article proposes to apply the GLS detrending method for the unit root test procedure developed by Kruse [2011 Kruse, R. 2011. A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers 52 (1):71–85. doi: 10.1007/s00362-009-0204-1.[Crossref],...
unit rootasymmetryreal GDPThe Sollis (2009) nonlinear unit root test has been shown to possess attractive power properties, especially where the series being tested follows an Asymmetric Exponential Smooth Transition Autoregressive (AESTAR) process. In this article, we propose a modification of this ...
unitroottestmethodofproofasymptoticdistributionIn a very influential paper, Elliott et al. [Efficdoi:10.1080/02331888.2013.835815WesterlundDeakinJoakimDeakinNSTLStatisticsWesterlund, J., 2014. On the asymptotic distribution of the DF-GLS test statistic. Statistics: A Journal of Theoretical and Applied ...