ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: This implements the DFGLS, PT, DFGLSu and QT tests for unit roots due to Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, 813-836 and Elliott(1999), "Efficient Tests for a Unit Root When the Initial Observation is Drawn from its Unconditional Distribution", International Economic Review, vol 40, 767-783.

Language: RATS
Requires: RATS 7.30
Keywords: Unit; root; tests (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/erstest.src (text/plain)

Related works:
Journal Article: Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution (1999)
Journal Article: Efficient Tests for an Autoregressive Unit Root (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00066

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