ERSTEST—Elliott-Rothenberg-Stock unit root test

[TomDoan]

erstest.src is a procedure for doing the unit root test from Elliott, Rothenberg and Stock(1996), "Efficient tests for an autoregressive unit root", Econometrica vol 64, no 4. 813–836.

Detailed description

[telo]

Dear Tom,

For the ERSTEST test, the procedure instructions gives MAXLAGS as an option, but the Unit Root Test Wizard does not give the option to choose the method for lag selection.

Same goes when running the test procedure and choosing MAXLAGS as an option, it ends up with an error message:

Code: Select all

@ERSTEST(det=trend,maxlags=4,method=bic) CC_RLOG

## OP3. This Instruction Does Not Have An Option MAX
>>>>(det=trend,maxlags=<<<<

I wonder where the error could be or if anyone else has encountered similar issues?
Many thanks.

[TomDoan]

Is it possible that you are using an older version of @ERSTEST? The version of @ERSTEST that has been distributed with the software was revised in 2019 to include the lag length adjustments. If you are using a source erstest.src, then that's probably pointing to an older version. If you are just doing @ERSTEST (and are thus letting the software find the procedure file), the first path checked is always the one in the main program file, so if someone gave you a program and a copy of an older erstest.src, it would pull up that one when you try to run that program.

[telo]

Thank you for your swift reply!

I have a new license and the Version 10.0 of the software, but for some reason the erstest.src in the main program file was an older version from 2018. I replaced it with the newer erstest.src and now it seems to work!
The Unit Root Test Wizard does not give the option to choose the method for lag selection, but I can run the @ERSTEST with MAXLAGS now without an error.

Many thanks!