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The Stata Journal
Volume 18 Number 1: pp. 22-28

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

Jesús Otero
Universidad del Rosario
Bogotá, Colombia
Christopher F. Baum
Boston College
Chestnut Hill, MA
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.

View all articles by these authors: Jesús Otero, Christopher F. Baum

View all articles with these keywords: adfmaxur, unit-root test, critical values, lag length, p-values

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