dfgls#

Purpose#

Test for unit root in univariate time series.

Format#

{ t_stat, z_crit } = dfgls(y[, max_lags, trend])#

Parameters:

y (Tx1 vector) – data.
max_lags (scalar) – Optional input, maximum number of lags to be tested. Default = 0.
trend (scalar) – Optional input, 0 = no trend, 1 = trend. Default = 0.

Returns:

tstat (matrix) – AR(1) t-statistic.
zcrit (matrix) – Elliot, Rothenberg and Stock (1996) critical values for the GLS detrended unit root test at the 1%, 2.5%, 5%, and 10% significance level.

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);

The results printed are:

Test:                                                    ADF
Test Variable:                                            X2
Timespan:                                            Unknown
Ho:                                                Unit Root
Model:                                  No constant or trend
N. Obs:                                                  199
============================================================
ADF-stat                                              -2.970

Critical Values:
                          1%             5%            10%
                      -2.652         -1.991         -1.666
============================================================

Reject the null hypothesis of unit root at the 1% level.

Library#

tsmt

Source#

dfgls.src