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Unit Root Test Results Table Creator

Author

Listed:
  • Josip Tica

    (Faculty of Economics and Business, University of Zagreb)

Programming Language

Abstract

This E-views program performs sequence of six adf unit root tests on the list of selected variables (default selection is all variables in workfile). In the procedure described by Enders (2003) every variable in levels and first differences is tested for unit root in a model with trend and constant, only constant and without trend and constant. Results of the six unit root tests are saved in a table within the active workfile (default name of the table is urt) in six columns and as many rows as variables. Only t statistics for \gamma=0 is reported and *** denotes significance at 1%, **denotes significance at 5% and * denotes significance at 10%. Program allows user to choose variables within the active workfile, it is possible to choose the name of output table and lag selection methodology for unit root tests is customizable.

Suggested Citation

  • Josip Tica, 2015. "Unit Root Test Results Table Creator," EFZG Department of Macroeconomics Software Series 15-01, Faculty of Economics and Business, University of Zagreb.
    • Handle: RePEc:zag:softwr:1501
    as

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    File URL: http://web.efzg.hr/repec/software/software2015-01.zip
    File Function: program code
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    JEL classification:

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

    Statistics

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