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An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution

Carlos Guerrero de Lizardi ()
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Carlos Guerrero de Lizardi: Tecnológico de Monterrey, Campus Ciudad de México

Authors registered in the RePEc Author Service: Carlos Guerrero-de-Lizardi ()

EGAP Computer Code from Tecnológico de Monterrey, Campus Ciudad de México

Abstract: We present an Eviews program to run a Monte Carlo experiment. We use as example a Dickey-Fuller distribution. The proposed program is easier to put into practice than the code designed by, among others, Brooks (2002) or Fantazzini (2007). A short note about the Monte Carlo method is included. At the end we compare our critical values with the ones in Brooks (2002), Charemza and Deadman (1992), Enders (2004), and Patterson (2000).

Keywords: Monte Carlo method; EViews; Dickey-Fuller (search for similar items in EconPapers)
JEL-codes: C15 C22 C87 (search for similar items in EconPapers)
Date: 2011-01
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Persistent link: https://EconPapers.repec.org/RePEc:ega:comcod:201101

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