RADF: Stata module to calculate unit root tests for explosive behaviour
Jesus Otero and
Christopher Baum
Statistical Software Components from Boston College Department of Economics
Abstract:
radf computes the right-tail augmented Dickey-Fuller (1979) (ADF) unit root test, and its further developments based on supremum statistics derived from ADF-type regressions estimated using recursive windows (Phillips, Wu and Yu, 2011) and recursive flexible windows (Phillips, Shi and Yu, 2015). The command allows for the number of lags of the dependent variable in the test regression and the width of rolling windows to be either specified by the user or determined using data-dependent procedures. Also, it allows for the implementation of the date-stamping procedures advocated by Phillips, Wu and Yu (2011) and Phillips, Shi and Yu (2015) to identify episodes of explosive behaviour.
Language: Stata
Requires: Stata version 13 and moremata from SSC (q.v.)
Keywords: unit root test; explosive behavior; augmented Dickey-Fuller; Phillips; Wi; Shi; Yu (search for similar items in EconPapers)
Date: 2020-09-10, Revised 2022-01-30
Note: This module should be installed from within Stata by typing "ssc install radf". 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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http://fmwww.bc.edu/repec/bocode/r/radf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/radf0.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/radf.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/radf.mtx lookup file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/r/rall_bsadf.mtx lookup file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/r/rgsadf.mtx lookup file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/r/rsadf.mtx lookup file (application/x-stata)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458836
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