Augmented Dickey-Fuller GLS

Version 1.0.0 (2.35 KB) by Franco Marcelo Taipe Silvestre
Augmented Dickey-Fuller with GLS detrending as specified by Elliott, Rothenberg, and Stock (1996).
0.0
(0)
135 Downloads
Updated 17 Oct 2020

View License

A versatile function that performs the ADF GLS test based on ERS 1996. A comprehensive description of the method is included in the script. The standard ADF and the OLS detrending variants are also supported.

Cite As

Franco Marcelo Taipe Silvestre (2024). Augmented Dickey-Fuller GLS (https://www.mathworks.com/matlabcentral/fileexchange/81298-augmented-dickey-fuller-gls), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2019a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0