dfgls

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ckarag / dfgls4matlab

MATLAB implementation of the DF-GLS unit root test of Elliott, Rothenberg & Stock (1996), with 3 optimal lag-length selection methods (SIC, MAIC, Sequential-t) for selecting the lagged terms in the underlying ADF regression.

time-series forecasting ers adf dickey-fuller stationarity unti-root dfgls

Updated Aug 6, 2024
MATLAB

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dfgls

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ckarag / dfgls4matlab

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