ADFMAXUR: Stata module to calculate Leybourne (1995) ADFmax 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: adfmaxur computes Leybourne (1995) ADFmax 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: Leybourne; ADFmax; unit root; response surfaces (search for similar items in EconPapers)
Date: 2017-04-01, Revised 2022-09-24
Note: This module should be installed from within Stata by typing "ssc install adfmaxur". 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/a/adfmaxur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/adfmaxur.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rerdata.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/r/rerdata_long.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/u/usurates.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/a/adfmaxur.mtx lookup file (application/x-stata)

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