dfunit.src- Procedure file - requires RATS 7.3 or later
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Options for Selecting Lags
LAGS=number of additional lags [0]
MAXLAGS=maximum number of additional lags to consider [number of observations^.25]
You can use either of these to select either the (maximum) number of additional lags. If you don't use either option, the LAGS default of 0 will be used for METHOD=INPUT and the MAXLAGS default will be used for the others.
METHOD=[INPUT]/AIC/BIC/HQ/TTEST/GTOS
METHOD=INPUT uses the input number of LAGS only. METHOD=AIC/BIC/HQ test the D-F regressions for everything from 0 to LAGS/MAXLAGS and chooses the minimizer for the chosen criterion. METHOD=TTEST/GTOS starts with the full set of lags and deletes lags as long as the final one has a marginal significance level less than the cutoff given by the SIGNIF option. (GTOS is short for General-TO-Specific).
SIGNIF=cutoff significance level for METHOD=TTEST or GTOS[.10]
Other Options
DET=NONE/[CONSTANT]/TREND
Choose what deterministic components to include.
[TTEST]/NOTTEST
Computes the regression t test, as opposed to the T(rho-1) test.
[PRINT]/NOPRINT
TITLE=Title for output ["Dickey-Fuller Unit Root Test, Series xxxx"]
Example
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*
* Baltagi, Econometrics, 3rd edition
* Unit Root tests from pp 370-371
*
open data consump.dat
calendar 1950
data(format=prn,org=columns) 1950:1 1993:1 year y c
*
* Dickey-Fuller regression, done directly
*
set dc = c-c{1}
set trend = t-1
linreg dc
# constant trend c{1}
*
* Using DFUNIT instead.
*
@dfunit(det=trend) c
@dfunit(det=trend,lags=2) c
*
* Unit root tests on the difference
*
@dfunit dc
- consump.dat
- Data file for example
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