In stata, the dfuller command is used for adf tests. A unit root test determines whether a time series variable is nonstationary using an autoregressive model. It performs the modified dickeyfuller t test known as the dfgls test proposed by elliott, rothenberg, and stock 1996. Exporting dfgls and phillipsperron unit root tests into. The module is made available under terms of the gpl v3 s.
Essentially, the test is an augmented dickeyfuller test, similar to the test performed by statas dfuller. In eviews, the augmented dickeyfuller is available under unit root test. Any test involving an augmented dickeyfuller regression is sensitive to the lag length number of lagged di erences with which the regression is augmented. Since i am not a stata user, i cannot comment much on the particular functions available in stata. Dickey fuler ad augmented dickey fuller test for unit root.
The dfgls test of baum and sperling appeared in stata 6. This module may be installed from within stata by typing ssc install dfgls. Essentially, the test is an augmented dickeyfuller test, similar to the test performed by stata s dfuller command, except that the time series is transformed via a generalized least squares gls regression before performing the test. Description dfuller performs the augmented dickeyfuller test that a variable follows a unitroot process. Critical values for the gls detrending test are given in ers, and interpolated values are provided by the df gls routine. Windows users should not attempt to download these files with a web browser. In the stata implementation of the dfgls test baum, 2000, gls detrending is the default, and gls demeaning is selected by the notrendoption. Both papers show that the mpp test performs at least somewhat better than the df gls test. Stata svy command stata stata commands estat gof stata help df gls test in stata stata graphics stata par pratique stata software stata tutorial statistics with stata statistics with stata 14 stata companion 4th summary statistics stata multilevel model stata full tutorial on stata answers to stata companion an introduction to stata programming stata.
Download example data file here, description of variables in the data file here. Stata timeseries reference manual survey design and analysis. Response surface models for the elliott, rothenberg, stock dfgls. Essentially, the test is an augmented dickeyfuller test, similar to the test performed by stata s dfuller. Critical values for the gls demeaning test are those applicable to the noconstant, notrend dickeyfuller test. Stata module to compute dickeyfuller gls unit root test, statistical software components s41, boston college department of economics, revised 16 dec 2001. Enhances the elliottrothenberg stock dfgls test and the. Dfgls test in stata unit root test in stata time series hypothesis test of dependant and independant variables arecatagorical variable in stata command stata stata commands stata companion 4th stata graphics stata software stata tutorial statistics with stata statistics with stata 14 estat gof stata help svy command stata full tutorial on. In statistics and econometrics, an augmented dickeyfuller test adf tests the null hypothesis. Dfgls unit root test with stata econometric with applications. It has been shown that the df gls test has the best overall performance in terms of smallsample size and power, dominating the ordinary dickeyfuller test baum, 2001. Augmented dickeyfuller this is almost completely taken from the stata 11 manualtimeseries. The dfgls test is an improved version of the augmented dickeyfuller test. Stata module to compute dickeyfullergls unit root test.
But i know stata typically has good documentation, so you should be able to find the relevant information there. Hamilton1994, 528529 describes the four different cases to which the augmented dickeyfuller test can be applied. Hamilton1994, 528529 describes the four different cases to which the augmented dickeyfuller test can be. It was developed by elliott, rothenberg and stock ers in 1992 as a modification of the augmented dickeyfuller test adf. This is almost completely taken from the stata 11 manualtimeseries. In statistics and econometrics, the adfgls test or dfgls test is a test for a unit root in an economic time series sample. Glsdetrending based unit root tests against the alternative of stationarity. The adf test was the first test developed for testing the null hypothesis of a unit root and its most commonly used test in practice.