Bruce E. Hansen
"Rethinking the univariate approach to unit root tests: How to use covariates to increase power."
Econometric Theory (1995)
Program and Data Files
This program replicates the empirical work reported in the above paper.
The file has several procedures:
(1) UR_REG produces the coefficient and studentized statistics for unit roots outlined in the above paper
(2) LR_VAR calculates a "Long-Run Variance" for a vector-valued series, using the suggestions of Andrews (1991)
(3) UR_CRITS gives asymptotic critical values for the unit root tests
(4) UR_ADF calculates ADF unit root tests.
Gauss Program
Matlab Program
R Program
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.