Fractional-Frequency-Fourier-Part2-OxGauss/1. OxGuass code for ADF analysis(1).src at OxGauss-codes · nonlinear-lab/Fractional-Frequency-Fourier-Part2-OxGauss · GitHub

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@===============================================================================@
@ OxGauss code for ADF analysis			                	@
@ Input: 			y: Tx1 vector of time series (LGDP)		@
@ 	: 			x: Tx1 vector of time series (LPOP)		@
@ Output: 			bounds test (BT) statistics			@
@ Subprgram: 			none                                            @
@ Max Lag length: 		4                                        	@
@===============================================================================@

closeall;

output file=bt_out(1).txt reset;

@=====Data input===============================================@
load data[26,5]=data1.txt;
rr=rows(data);
cc=cols(data);

y0=data[1:rr,1];
x1=data[1:rr,2];
x2=data[1:rr,3];
x3=data[1:rr,4];
x4=data[1:rr,5];

mout=zeros(cc,1);

k=1;

p=1;
do while p<=cc;

y0=data[1:rr,p];

@=====ARDL model===============================================@
"++ADL method (long-run) ++";

n=rows(y0);
const=ones(n,1);
trend=seqa(1,1,n);
dy=y0[k+1:n]-y0[k:n-1];
x=const[k+2:n]~trend[k+2:n]~y0[k+1:n-1]~dy[k:n-2];
y=dy[k+1:n-1];
invx=inv(x'x);
beta=invx*x'y;
e=y-x*beta;
ssr=e'e;
var=(e'e/(rows(y)-cols(x)))*invx;
sd=sqrt(diag(var));
t=beta./sd;
adf=t[3];
mout[p,1]=adf;

"ADF=" adf;

p=p+1;
endo;
"Results=" mout;

@=====End of calculation===============================================@