dfgls
=====

Purpose
-------
Test for unit root in univariate time series.

Format
------
.. function:: { t_stat, z_crit } = dfgls(y[, max_lags, trend])

   :param y: data.
   :type y: Tx1 vector

   :param max_lags: Optional input, maximum number of lags to be tested. Default = 0.
   :type max_lags: scalar

   :param trend: Optional input, 0 = no trend, 1 = trend. Default = 0.
   :type trend: scalar

   :return tstat: AR(1) *t*-statistic.
   :rtype tstat: matrix

   :return zcrit: Elliot, Rothenberg and Stock (1996) critical values for the GLS detrended unit root test at the 1%, 2.5%, 5%, and 10% significance level.
   :rtype zcrit: matrix

Example
-------

::

   new;
   cls;
   library tsmt;

   // Load Enders data
   yt = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/erstest.fmt";
   yt = trimr(yt, 1, 0);

   // Now run full test
   { adf_stat, crit_mat } = dfgls(yt[., 2], 0, 1);

   print "The GAUSS DFGLS stats:";
   adf_stat;

   print "The ERS critical values:";
   crit_mat;

The results printed are:

::

  The GAUSS DFGLS stats:
  -2.97

  The ERS critical values:
  -3.46 -3.18 -2.93 -2.64

Library
-------
tsmt

Source
------
dfgls.src

.. seealso:: Functions :func:`kpss`, :func:`zandrews`, :func:`vmadfmt`