dfgls¶

Purpose¶

Computes the DF-GLS unit root test.

Format¶

{ GLStau, lags, cvGLS } = dfgls(y, model[, pmax, ic])¶

Parameters:

y (Nx1 matrix) – Time series data to be tested.
model (Scalar) –
Model to be implemented.

1

Constant.

2

Constant and trend.
pmax (Scalar) – Optional, the maximum number of lags for Dy. Default = 8.
ic (Scalar) –
Optional, the information criterion used for choosing lags. Default = 3.

1

Akaike.

2

Schwarz.

3

t-stat significance.

Returns:

GLStau (Scalar) – Dickey-Fuller GLS test statistic.
lags (Scalar) – Number of lags selected by chosen information criterion.
cv (Vector) – 1%, 5%, and 10% critical values for GLS tau statistic.

Examples¶

library tspdlib;

// Load date file
y = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_examples.csv", "Y");

// With constant
model = 1;
{ GLStau, GLSp, cvGLS } = DFGLS(y, model);

Source¶

gls.src

1	Constant.
2	Constant and trend.

1	Akaike.
2	Schwarz.
3	t-stat significance.