ADFREG: MATLAB module to calculate augmented Dickey-Fuller regression

Ludwig Kanzler (ludwig.kanzler@chch.oxon.org)

Statistical Software Components from Boston College Department of Economics

Abstract: [BETA, SE, T, TSIG, RESID, RSS, SIGMA] = ADFREG (SERIES, DLAGS) runs and evaluates a Dickey-Fuller (1979) type OLS regression on SERIES with the number of augmented terms (differenced lags) given by DLAGS (default is 0).

Language: MATLAB
Requires: MATLAB Statistics Toolbox and L. Kanzler's DFCRIT m-function.
Date: 1998-04-06
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http://fmwww.bc.edu/repec/bocode/a/adfreg.m program code (text/plain)

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