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DFSUMMARY: Stata module to compute the (Augmented) Dickey-Fuller unit-root test and reports a summary table for different lags

Máximo Sangiácomo

Statistical Software Components from Boston College Department of Economics

Abstract: dfsummary performs the augmented Dickey-Fuller test that a variable follows a unit-root process. The null hypothesis is that the variable contains a unit root, and the alternative is that the variable was generated by a stationary process. You may optionally exclude the constant, include a trend term, include seasonal dummies and include lagged values of the difference of the variable in the regression. dfsummary reports a summary table for different lags of the difference of the variable in the regression.

Language: Stata
Requires: Stata version 9
Keywords: Dickey-Fuller test; ADF; unit root (search for similar items in EconPapers)
Date: 2013-08-27
Note: This module should be installed from within Stata by typing "ssc install dfsummary". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dfsummary.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dfsummary.sthlp help file (text/plain)

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