Powerful new tools for time series analysis

North American Stata Users' Group Meetings 2007 from Stata Users Group

Abstract: 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.

Date: 2007-08-15

Downloads: (external link)
http://repec.org/nasug2007/StataTS07.beamer.7727.pdf presentation slides (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in North American Stata Users' Group Meetings 2007 from Stata Users Group
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().