Unit-root Tests Based on Forward and Reverse Dickey–Fuller Regressions

Jesús Otero · Christopher F. Baum

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Abstract

In this article, we present the command adfmaxur, which computes the Leybourne (1995, Oxford Bulletin of Economics and Statistics 57: 559–571) unit-root statistic for different numbers of observations and the number of lags of the dependent variable in the test regressions. The latter can be either specified by the user or endogenously determined. We illustrate the use of adfmaxur with an empirical example.

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1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1988Tests For Unit Roots: A Monte Carlo Investigation 1994Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection 1989Tests for Unit Roots: A Monte Carlo Investigation 1992The power problems of unit root test in time series with autoregressive errors

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