GLSDETREND: RATS procedure to perform local to unity GLS detrending

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Local to unity GLS detrending routine. Includes the ERS cases (no constant, constant, constant and trend) as well as the Perron and Rodriguez cases (constant and trend with a single break). This just does the detrending, not the actual unit root test(s). Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, pp 813-836. Perron and Rodriguez(2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.

Language: RATS
Requires: RATS 7.00
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
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Citations:

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

Related works:
Journal Article: GLS detrending, efficient unit root tests and structural change (2003)
Journal Article: Efficient Tests for an Autoregressive Unit Root (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00077

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