Unit-root tests based on forward and reverse Dickey–Fuller regressions
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.
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Jesús Otero, Christopher F. Baum
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adfmaxur, unit-root test, critical values, lag length, p-values
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