UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests

Statistical Software Components from Boston College Department of Economics

Abstract: [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.

Language: MATLAB
Requires: MATLAB Statistics Toolbox (function files NORMCDF.M and TCDF.M) and the author's function files ADFREG.M, DFCRIT.M, DURBINH.M, DWATSON.M, and PHILLIPS.M.
Date: Written 1998-06-07

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/u/unitroot.m program code (text/plain)

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