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ADFREG: MATLAB module to calculate augmented Dickey-Fuller regression
Ludwig Kanzler Statistical Software Components from Boston College Department of Economics
[BETA, SE, T, TSIG, RESID, RSS, SIGMA] = ADFREG (SERIES, DLAGS) runs and evaluates a Dickey-Fuller (1979) type OLS regression on SERIES with the number of augmented terms (differenced lags) given by DLAGS (default is 0).
Requires: MATLAB Statistics Toolbox and L. Kanzler's DFCRIT m-function.
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Downloads: (external link) http://fmwww.bc.edu/repec/bocode/a/adfreg.m program code (text/plain)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t871801
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