Giuseppe
Cavaliere
Limited
time series with a unit root (Econometric Theory, 2005)
Software and critical values
cv.txt
Gauss program for simulating asymptotic critical values of the unit
root tests when the d.g.p. is bounded I(1)
cvs.xls Excel file
containing the asymptotic critical values of the DF/PP tests, the RRS
test and the VNR test (all computed on deviations from X(0) and on
demeaned data), symmetric two-sided constraints and one-sided
constraints.
cvs-asym.xls Excel file containing the
asymptotic
critical values of the DF/PP tests, the RRS test and the VNR test (all
computed
on deviations from X(0) and on demeaned data), for some asymmetric
two-sided
constraints.