## Bruce E. Hansen

"Rethinking the univariate approach to unit root tests: How to use covariates to increase power."

Econometric Theory (1995)

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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.