Economics at your fingertips  

ERSUR: Stata module to calculate Elliott, Rothenberg & Stock DF-GLS unit root test statistic along with 1, 5 and 10% finite-sample critical values and associated p-values

Jesus Otero () and Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: ersur computes Elliott, Rothenberg & Stock ERS (1996) GLS-detrending based unit root tests against the alternative of stationarity. The command accommodates varname with nonzero mean and nonzero trend. Allowance is also made for the lag length to be either fixed (FIXED) or determined endogenously using information criteria such as Akaike and Schwarz, denoted AIC and SIC, respectively. A data-dependent procedure often known as the general-to-specific (GTS) algorithm is also permitted, using significance levels of 5 and 10%, denoted GTS05 and GTS10, respectively; see e.g. Hall (1994). Approximate p-values are also calculated.

Language: Stata
Requires: Stata version 13
Keywords: Elliott; Rothenberg; Stock; ERS; DF-GLS; unit root; response surfaces (search for similar items in EconPapers)
Date: 2017-03-26, Revised 2018-01-27
Note: This module should be installed from within Stata by typing "ssc install ersur". Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) program code (text/plain) help file (text/plain) sample data file (application/x-stata) lookup file (application/x-stata)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This software item can be ordered from

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().

Page updated 2019-09-16
Handle: RePEc:boc:bocode:s458323