levinlin.src- Procedure file - requires RATS 7.30 or later
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@LevinLin( options ) series start end
Options
SMPL=Dummy series with 0's in entries to skip [include all]
DET=NONE/[CONSTANT]/TREND Deterministic components
LAGS=(maximum) number of additional lags of the differenced series to include [Schwert's suggestion]
CRIT=FIXED/[GTOS]/AIC/BIC/HQ
Criterion used in selecting the individual specific lags. FIXED uses the value of the LAGS option for each. GTOS is General TO Specific, starting at the value of the LAGS option and dropping lags as long as the t-stat on the final one has a significance level below the SLSTAY option. AIC, BIC and HQ the Akaike, Schwarz Bayesian and Hannan-Quinn, respectively.
SLSTAY=significance level for keeping the marginal lag in CRIT=GTOS [.10]
LWINDOW=[NEWEY]/BARTLETT/FLAT/PARZEN/QUADRATIC
BANDWIDTH=# of lags (or bandwidth for LWINDOW=QUADRATIC) [Schwert's]
RECOLOR/[NORECOLOR]
These choose the method used for computing the ratio of long- to short-run variances. RECOLOR does this by using inverting the autoregressive
representation. By default, this is done using a lag window calculation applied to the residuals from the differenced series on the deterministics with lag window type and bandwidth determined by the LWINDOW and BANDWIDTH options.
[PRINT]/NOPRINT
TITLE=title for output ["Levin-Lin Unit Root Test Series: ..."]