ADFTEST: Stata module to perform ADF and Breusch-Godfrey tests

Rafal Wozniak ()

Statistical Software Components from Boston College Department of Economics

Abstract: adftest performs Dickey-Fuller unit root test and displays the results along with the Breusch-Godfrey autocorrelation test results. The null hypothesis of the Dickey-Fuller test is that the variable is non-stationary, while the alternative is that the variable is stationary. Optional arguments allow to include a trend term, exclude the drift term, and add augmentations in the regression. The Breusch-Godfrey test is a test of the null hypothesis of the lack of serial correlation in the disturbance.

Language: Stata
Requires: Stata version 15.1
Keywords: augmented Dickey-Fuller; ADF; Breusch-Godfrey; autocorrelation (search for similar items in EconPapers)
Date: 2019-07-15
Note: This module should be installed from within Stata by typing "ssc install adftest". 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/adftest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/adftest.sthlp help file (text/plain)

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