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
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.
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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/ersur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/ersur.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/u/usrates.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/e/ersur.mtx lookup file (application/x-stata)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458323
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