Unit root tests for explosive behaviour

Jesus Otero and Christopher Baum

London Stata Conference 2020 from Stata Users Group

Abstract: We present the new Stata command radf to compute several tests for explosive behaviour in time series. The command implements the right-tail augmented Dickey and Fuller (1979) (ADF) unit root test, and its further developments based on supremum statistics derived from ADF-type regressions estimated using rolling windows, recursive windows (Phillips, Wu and Yu 2011), and recursive flexible windows (Phillips, Shi and Yu 2015). The command allows for the number of lags of the dependent variable in the test regression to be either specified by the user or endogenously determined using a data-dependent procedure. The use of the command is illustrated with an empirical example.

Date: 2020-09-11
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Citations: View citations in EconPapers (4)

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Journal Article: Unit-root tests for explosive behavior (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug20:04

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