PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes one or more of the Perron-Ng "M" unit root tests. Perron and Ng(1996), "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties", Review of Economic Studies, vol 63, 435-463.

Language: RATS
Requires: RATS 7.00
Keywords: Unit; root; tests (search for similar items in EconPapers)
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