dfgls.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}
{* 15feb2005}{...}
{cmd:help dfgls}{right:dialog:  {bf:{dialog dfgls}}}
{hline}

{title:Title}

{p2colset 5 19 21 2}{...}
{p2col:{hi:[TS] dfgls} {hline 2}}DF-GLS unit-root test{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 14 2}
{cmd:dfgls}
{varname}
{ifin}
[{cmd:,}
{it:options}]

{synoptset 13 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Main}
{synopt:{opt m:axlag(#)}}use {it:#} as the highest lag order for Dickey-Fuller GLS regressions {p_end}
{synopt:{opt not:rend}}series is stationary around a mean instead of around a linear time trend {p_end}
{synopt:{opt ers}}present interpolated critical values from Elliot, Rothenberg, and Stock{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}
You must {opt tsset} your data before using {opt dfgls}; 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 dfgls} performs a modified Dickey-Fuller t-test for a unit root in
which the series has been transformed by a generalized least-squares
regression.


{title:Options}

{dlgtab:Main}

{phang}
{opt maxlag(#)} sets the value of k, the highest lag order for the
   first-differenced, detrended variable in the Dickey-Fuller regression.  By
   default, {opt dfgls} sets k according to the method proposed by Schwert;
   i.e., {opt dfgls} sets k_max=int[12{(T+1)/100}^(0.25)].

{phang}
{opt notrend} specifies that the alternative hypothesis be that the series
   is stationary around a mean instead of around a linear time trend.  By
   default, a trend is included.

{phang}
{opt ers} specifies that {opt dfgls} should present interpolated
   critical values from tables presented by Elliott, Rothenberg, and Stock,
   which they obtained from simulations.  See {hi:Critical values}
   under Methods and Formulas in {bind:{bf:[TS] dfgls}} for details.


{title:Examples}

{pstd}{cmd:. dfgls investment}{p_end}

{pstd}{cmd:. dfgls investment, maxlag(8)}{p_end}


{title:Also see}

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

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