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ers

Elliott-Rothenberg-Stock unit root test

CALLING SEQUENCE

resers=ers(namey,p,l,arg1,...,argn)

PARAMETERS

Input

* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

* p = order of time polynomial in the null-hypothesis

   - p =  0, for constant term

   - p =  1, for constant plus time-trend

* l = # of lags of the ERS test

* arg1,...,argn = optional arguments which can be:

  - 'noprint'if the user doesn't want to print the results of the regression

   - 'dropna' if the user wants to remove the NA values from the data

 

Output

* rers = a results tlist with:

  - resers('meth') = 'ers'

  - resers('y') = y data vector of the auxiliary regression

  - resers('x') = x data matrix of the auxiliary regression

  - resers('nobs') = # observations

  - resers('nvar') = # variables

  - resers('beta') = bhat

  - resers('yhat') = yhat

  - resers('resid') = residuals of the auxiliary regression

  - resers('vcovar') = estimated variance-covariance matrix of beta

  - resers('sige') = estimated variance of the residuals

  - resers('sigu') = sum of squared residuals

  - resers('ser') = standard error of the regression

  - resers('tstat') = t-stats

  - resers('pvalue') = pvalue of the betas

  - resers('dw') = Durbin-Watson Statistic

  - resers('condindex') = multicolinearity cond index

  - resers('prescte') = boolean indicating the absence of a constant in the regression

  - resers('pvaluef') = its significance level

  - resers('test p-value') = the (approximate) p-value of the test

  - resers('prests') = boolean indicating the presence or absence of a time series in the regression

  - resers('namey') = name of the y variable of the auxiliary regression

  - resers('namex') = name of the x variables of the auxiliary regression

  - resers('bounds') = if there is a timeseries in the regression, the bounds of the regression

  - resers('like') = log-likelihood of the regression

  - resers('dropna') = boolean indicating if NAs have been droped

  - resers('nonna') = vector indicating position of non-NA values (if the option 'dropna' was active)

DESCRIPTION

Carries out Elliott-Rothenberg-Stock (ERS) test on a time series. The p-value have been tabulated using an extension of Y-W Cheung and K.S Lai (1995) ("Lag Order and Critical Values of a modified Dickey-Fuller test", Oxford Bulletin of Economics and Statistics, vol. 50, nº3, pp. 411-419.) method.

EXAMPLE

load(GROCERDIR+'/macros/grocer/db/bdhenderic.dat') ;
bounds('1964q1','1989q2')
ers('ly',1,4)
ers('delts(ly)',0,4)
// Example taken from function ers_d. The nature of series ly is asserted, first by testing if it is trend-stationary
// (the result is negative), then if its first difference is level-stationary (the result is positive).
// 4 lags of the first difference of the tested variable are introduced.

AUTHOR

Eric Dubois 2006-2007

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