| File Name | Description |
| ADFAUTOSELECT.SRC | This selects the optimal lag length for an ADF unit root test (it does not do the UR test itself--see the Unit Root section for testing proceudres). This uses features of RATS 6.0 to report the results in a convenient format. It is largely based on a procedure found in Norman Morin's URADF.SRC file. Note: The filename was renamed from ADFAUTO.SRC (to match the name of the procedure itself) in August, 2005. |
| By: Estima, Norman Morin, 7/14/2004. | |
| Version: 6 or later. Reference: |
|
| BAYESTST.SRC | Tests series for a unit root using the Bayesian procedure outlined in C. Sims, "Bayesian Skepticism on Unit Root Econometrics", J. of Economic Dynamics and Control, 1988 no. 2/3. |
| By: Estima, 5/28/1992. | |
| Version: 4 or later. Reference: Sims | |
| BLSUNIT1.SRC | Recursive minimum unit root test. Based largely on a 1992 paper by Banerjee, Lumsdaine, and Stock. |
| By: Vincent Labhard, 12/17/1998. | |
| Version: 4 or later. Reference: Banerjee; Lumsdaine; Stock | |
| BLSUNIT2.SRC | Rolling minimum unit root test. Based largely on a 1992 paper by Banerjee, Lumsdaine, and Stock. |
| By: Vincent Labhard, 12/17/1998. | |
| Version: 4 or later. Reference: Banerjee; Lumsdaine; Stock | |
| BLSUNIT3.SRC | Sequential minimum unit root test. Based largely on a 1992 paper by Banerjee, Lumsdaine, and Stock. |
| By: Vincent Labhard, 7/16/2004. | |
| Version: 4 or later. Reference: Banerjee; Lumsdaine; Stock | |
| DFUNIT.SRC | An updated version of the DFUNIT procedure supplied with RATS, for Dickey-Fuller Unit Root tests. Improved output, and default test changed to t-test. |
| By: Estima, 4/10/2007. | |
| Version: 5.1 or later. Reference: Dickey; Fuller; MacKinnon | |
| ERSTEST.SRC | ERSTEST.SRC implements the DFGLS, PT, DFGLSu and QT tests for unit roots due to Elliott, Rothenberg and Stock (1996 Econometrica) and Elliott (forthcoming International Economic Review). The procedure includes critical value tables. Also available are a demonstration program and associated data file: ERSDEMO.PRG and DMUS.TXT. All three files are available in zipped format in ERSTEST.ZIP. Updated 7/19/2004 to take advantage of new features in Version 6. |
| By: Alan Taylor, 7/19/2004. | |
| Version: 6 or later. Reference: Elliott; Rothenberg; Stock | |
| EndersGrangerJBES1998.zip | Replicates Enders, Walter and C.W.J. Granger, "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates." Journal of Business and Economic Statistics 16, July, 1998. pp. 304-11. The technical details of the program are described on pages 128 - 132 of Enders' "RATS Progamming Manual". |
| By: Enders, Estima, 3/1/2007. | |
| Version: 6.2 or later. Reference: Enders; Granger; Chan | |
| HEGY.SRC | An implementation of the "HEGY" (Hylleberg, Engle, Granger, and Yoo, 1990) seasonal unit root tests for quarterly time series. Options allow you to specify the number of lags, and choose between models with and without intercept, seasonal dummies, and/or trend. You can also have it test all of these models at once. |
| By: Suliman Al-Turki, 7/16/2004. | |
| Version: 4 or later. Reference: Hylleberg; Engle; Granger; Yoo | |
| HEGYQNEW.SRC | A newer version of the quarterly HEGY test, this adds features such as automated lag-length selection. |
| By: Jesper Hansson, 2/14/2001. | |
| Version: 4 or later. Reference: Hylleberg; Engle; Granger; Yoo | |
| IPSHIN.SRC | Implements tests from Im, Pesaran and Shin, "Testing for Unit Roots in Heterogeneous Panels", J. of Econometrics, 2003, vol 115, pp 53-74. |
| By: Estima, 7/14/2005. | |
| Version: 6 or later. Reference: Im; Pesaran; Shin | |
| KPSS.SRC | Does the KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test procedure. Updated in April 2007 to add several options. |
| By: Phil Rothman, 4/10/2007. | |
| Version: 6 or later. Reference: Kwiatowski; Phillips; Schmidt; Shin | |
| MACKINNONCV.SRC | Computes 'exact' critical values for the Dickey-Fuller and the Engle-Granger cointegration tests from the response surface regressions in MacKinnon (1991). (Renamed from MACKCVAL.SRC) |
| By: Estima, 12/7/2003. | |
| Version: 6 or later. Reference: |
|
| MHEGY.SRC | MHEGY.SRC implements the monthly version of the "HEGY" (Hylleberg, Engle, Granger, and Yoo, 1990) seasonal unit root tests (use the HEGY.SRC version above for quarterly series). Note: Requires Norman Morin's LAGSELEC.SRC procedure file. Updated with corrections on March 27, 2003 |
| By: Ulrich Leuchtmann, 7/16/2004. | |
| Version: 4 or later. Reference: Hylleberg; Engle; Granger; Yoo | |
| PERRON.SRC | Performs the Perron test for a unit root allowing for a one-time change in the slope or level of the series. Useful when standard tests against trend stationary alternatives cannot reject the null hypothesis of unit root if the true data generating process is that of stationary around a trend function which contains a one time break. By Diego Vasquez, based in part on Norman Morin's URADF.SRC procedure. |
| By: Diego Vasquez, 7/19/2004. | |
| Version: 4 or later. Reference: Perron | |
| PERRON97.SRC | Implements various unit root tests for series with endogenous time breaks, as described in Perron's paper "Further evidence on breaking trend functions in macroeconomic variables, Journal of Econometrics 80, 1997. |
| By: G. Colletaz and F. Serranito, 4/26/2002. | |
| Version: 4 or later. Reference: Perron | |
| PPUNIT.SRC | This is an updated version of the Phillips-Perron Unit Root test procedure included with RATS, with improved output. The default test method has also been changed to the t-test form. (this updated version is included with RATS version 5.10 and later) |
| By: Estima, 7/19/2004. | |
| Version: 5 or later. Reference: Perron | |
| SPUNIT.SRC | Computes the various "Schmidt-Phillips" tests (TAU) for a unit roots. |
| By: Diego Mauricio Vasquez, 7/19/2004. | |
| Version: 4 or later. Reference: Schmidth; Phillips; Schwert | |
| STOCKWAT.SRC | This procedure is a modification of Stock's procedure to do Stock-Watson and Dickey-Fuller Unit Root and Time Trend tests. |
| By: Estima, 8/3/2004. | |
| Version: 4 or later. Reference: Stock; Watson; Dickey; Fuller | |
| SURGAT.SRC | SURGAT (Seasonal Unit Roots Graphical Analysis and Testing device) is a menu-driven program to help in the analysis of the seasonal component and the trend of a (quarterly, monthly or annual) time series. This program is originally written by Ignacio Díaz-Emparanza with the collaboration of Rosa Cao and Lander Ibarra. Requires SPECTRUM.SRC and LAGSELEC.SRC procedure files. |
| By: Daz-Emparanz, Cao, Ibarra, 3/19/2004. | |
| Version: 5 or later. Reference: |
|
| UNITROOT.SRC | One of several variations on Dickey-Fuller and Phillips Perron unit root tests witten by Francisco Goerlich. |
| By: Francisco Goerlich, 7/19/2004. | |
| Version: 4 or later. Reference: Dickey; Fuller; Phillips; Perron | |
| URADF.SRC | For basic ADF (Augmented Dickey-Fuller) tests, we recommend Norman Morin's URADF.SRC procedure. This performs Augmented Dickey-Fuller unit root tests, and includes AIC and BIC searches for appropriate lag length and more . |
| By: Norman Morin, 7/19/2004. | |
| Version: 4 or later. Reference: Dickey; Fuller; Davidson; MacKinnon; Goerlich; Hamilton | |
| URAUTO.SRC | One of several variations on Dickey-Fuller and Phillips Perron unit root tests witten by Francisco Goerlich. |
| By: Francisco Goerlich, 10/7/2002. | |
| Version: 4 or later. Reference: Dickey; Fuller; Phillips; Perron | |
| URSB.SRC | Performs the Sargan-Bhargava unit root test. |
| By: Francisco Goerlich, 1/20/1994. | |
| Version: 4 or later. Reference: Sargan; Bhargava | |
| URTT.SRC | One of several variations on Dickey-Fuller and Phillips Perron unit root tests witten by Francisco Goerlich. |
| By: Francisco Goerlich, 1/20/1994. | |
| Version: 4 or later. Reference: Dickey; Fuller | |
| URTTOPP.SRC | One of several variations on Dickey-Fuller and Phillips Perron unit root tests witten by Francisco Goerlich. |
| By: Francisco Goerlich, 4/8/1994. | |
| Version: 4 or later. Reference: Ouilaris; Par; Phillips | |
| VRATIO.SRC | Implements the variance ratio unit root test procedure as outlined in Cochrane (1988), Diebold (1989), and Lo and McKinley (1988). Revised and updated by Estima. (Updated May, 2006: documented DIFF option, corrected problem with NODIFF). |
| By: Christopher Zorn; Estima, 5/25/2006. | |
| Version: 6 or later. Reference: Cochrane; Diebold; Lo; McKinley | |
| ZIVOT.SRC | Zivot and Andrews unit root test. Allows for a single break in the intercept, the trend or both. "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis." JBES 10 (1992), 251-70) |
| By: Estima, 7/25/2005. | |
| Version: 5.1 or later. Reference: Andrews; Zivot | |