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Unit-root tests based on forward and reverse Dickey–Fuller regressions

Author

Listed:
  • Jesús Otero

    (Universidad del Rosario)

  • Christopher F Baum

    (Boston College
    DIW Berlin)

Abstract

In this article, we present the command adfmaxur, which computes the Leybourne (1995, Oxford Bulletin of Economics and Statistics 57: 559–571) unit-root statistic for different numbers of observations and the number of lags of the dependent variable in the test regressions. The latter can be either specified by the user or endogenously determined. We illustrate the use of adfmaxur with an empirical example.

Suggested Citation

  • Jesús Otero & Christopher F Baum, 2018. "Unit-root tests based on forward and reverse Dickey–Fuller regressions," Stata Journal, StataCorp LP, vol. 18(1), pages 22-28, March.
    • Handle: RePEc:tsj:stataj:v:18:y:2018:i:1:p:22-28
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    Cited by:

    1. Afonso, António & Mignon, Valérie & Saadaoui, Jamel, 2024. "On the time-varying impact of China's bilateral political relations on its trading partners: “Doux commerce” or “trade follows the flag”?," China Economic Review, Elsevier, vol. 85(C).
    2. İbrahim Özmen & Şerife Özşahin, 2023. "Effects of global energy and price fluctuations on Turkey's inflation: new evidence," Economic Change and Restructuring, Springer, vol. 56(4), pages 2695-2728, August.

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