URCOVAR: Stata module to perform Elliott-Jansson test for unit roots with stationary covariates

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: urcovar performs the test for a unit root in depvar in the context of one or more stationary covariates (listed in varlist) which was proposed by Elliott and Jansson (J. Econometrics, 2003) as a generalization of the CADF test of Hansen (Econometric Thy., 1995). The Elliott-Jansson test constructs a VAR in the model of the stationary covariates and the quasi-difference of depvar. As in the Dickey-Fuller (dfuller) or Elliott-Rothenberg-Stock DF-GLS (dfgls) unit root tests, the model can include no deterministic terms, constants or constants and time trends.

Language: Stata
Requires: Stata version 9.2
Keywords: time-series data; unit root; stationary covariates (search for similar items in EconPapers)
Date: 2007-08-13, Revised 2007-09-16
Note: This module should be installed from within Stata by typing "ssc install urcovar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/u/urcovar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/u/urcovar.hlp help file (text/plain)

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