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Powerful new tools for time series analysis

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Author Info
Christopher F Baum () (Boston College, DIW Berlin)

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Abstract

Elliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of Economic Studies paper (2006) illustrates how tests for parameter constancy and tests for a unknown break process can be unified to produce a single efficient test for stability of the regression function. I will discuss and demonstrate a Stata implementation of the test.

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File URL: http://repec.org/nasug2007/StataTS07.beamer.7727.pdf
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Publisher Info
Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2007 with number 7.

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Date of creation: 15 Aug 2007
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Handle: RePEc:boc:asug07:7

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