dfuller.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 06mar2005}{...}
{cmd:help dfuller}{right:dialog:  {bf:{dialog dfuller}}}
{hline}

{title:Title}

{p2colset 5 21 23 2}{...}
{p2col:{hi:[TS] dfuller} {hline 2}}Augmented Dickey-Fuller unit-root test{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 16 2}
{cmd:dfuller}
{varname}
{ifin}
[{cmd:,} {it:options}]

{synoptset 14 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Main}
{synopt:{opt nocon:stant}}suppress constant term in regression{p_end}
{synopt:{opt tr:end}}include trend term in regression{p_end}
{synopt:{opt dr:ift}}include drift term in regression{p_end}
{synopt:{opt reg:ress}}display regression table{p_end}
{synopt:{opt l:ags(#)}}include {it:#} lagged differences{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}
You must {opt tsset} your data before using {opt dfuller}; see
{helpb tsset}.
{p_end}
{p 4 6 2}
{it:varname} may contain time-series operators; see {help tsvarlist}.
{p_end}


{title:Description}

{pstd}
{opt dfuller} performs the augmented Dickey-Fuller test 
that a variable follows a unit-root process.  
The null hypothesis is that the variable contains a unit root, and the
alternative is that the variable was generated by a stationary process.
You may optionally exclude the constant, include a trend term, and include
lagged values of the difference of the variable in the regression.


{title:Options}

{dlgtab:Main}

{phang}
{opt noconstant} suppresses the constant term (intercept) in the
   model and indicates that the process under the null hypothesis is a random
   walk without drift.  {opt noconstant} cannot be used with the {opt trend}
   or {opt drift} options.

{phang}
{opt trend} specifies that a trend term be included in the associated
   regression and that the process under the null hypothesis is a random walk,
   perhaps with drift.  This option may not be used with the {opt noconstant}
   or {opt drift} options.

{phang}
{opt drift} indicates that the process under the null hypothesis is a random
   walk with nonzero drift.  This option may not be used with the
   {opt noconstant} or {opt trend} options.

{phang}
{opt regress} specifies that the associated regression table appear in the
   output.  By default, the regression table is not produced.

{phang}
{opt lags(#)} specifies the number of lagged difference terms to include in
   the covariate list.


{title:Examples}

{phang}{cmd:. dfuller gnp}

{phang}{cmd:. dfuller gnp, lags(5) trend regress}


{title:Also see}

{psee}
Manual:  {bf:[TS] dfuller}

{psee}
Online:  
{helpb dfgls},
{helpb pperron},
{helpb tsset}
{p_end}