IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/t871806.html
 

UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests

Author

Listed:
  • Ludwig Kanzler

Programming Language

MATLAB

Abstract

[ADF, ADFRESID, DF, DFRESID] = UNITROOT (SERIES) tests the null hypothesis of the existence of a unit root in SERIES and returns matrix ADF with the results for the Augmented Dickey-Fuller regression with the highest number of augmented terms (dlags), if any, significant at the 10% level, vector ADFRESID with the residuals of the ADF regression, matrix DF with the results for the Dickey-Fuller regression, and vector DFRESID with the residuals of the DF regression.

Suggested Citation

  • Ludwig Kanzler, 1998. "UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests," Statistical Software Components T871806, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t871806
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/u/unitroot.m
    File Function: program code
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    MATLAB;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:t871806. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.