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GLSDETREND: RATS procedure to perform local to unity GLS detrending

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Local to unity GLS detrending routine. Includes the ERS cases (no constant, constant, constant and trend) as well as the Perron and Rodriguez cases (constant and trend with a single break). This just does the detrending, not the actual unit root test(s). Elliott, Rothenberg and Stock(1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, pp 813-836. Perron and Rodriguez(2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.

Suggested Citation

  • Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00077
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/glsdetrend.src
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    Keywords

    Unit root tests; RATS;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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