Test for a unit root                                              (STB-7: sts2)
--------------------


	^dickey^ varname [^, n^lags^(^#^) nof^indlag ^t^rend regress_options]



Description
-----------

^dickey^ tests the null hypothesis that varname has a unit root.  The test is
performed by regressing the first difference of varname on its lagged level
and lags of the first difference.  A constant and a time trend may also be
included.  The test statistic is the t-statistic on the lagged level of
varname.  Under the null hypothesis, this statistic does not have a t-distri-
bution.  Its true distribution under the null has been calculated and is
tabulated in Fuller (1976, 373), where the test is described in detail.




Options
-------


^nlags(^#^)^ specifies the number of lags to be considered.   The default is 4.

^nofindlag^ suppresses finding the optimal number of lags.

^trend^ includes a time trend term in the regression.

regress_options refers to any of the options of ^regress^; see ^help regress^.



(Examples follow.)









Examples
--------

 . ^dickey gnp^

reports the Dickey-Fuller test statistic for the hypothesis that GNP has a unit
root.  In this example, a constant and zero through four lags of the first
difference of GNP are included in the test regressions.  In addition, estimates
of the optimal number of lags (up to the default 4) are reported.


. ^dickey gnp, nlags(5)^

would consider up to 5 lags.




References 
----------

Fuller, W. A.  1976.  ^Introduction to Statistical Time Series^.  New York:
    John Wiley & Sons.



Author
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Sean Becketti, Federal Reserve Bank of Kansas City.



Also see
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    STB:  sts2 (STB-7)
On-line:  ^help^ for ^ac^, ^coint^, ^findlag^, ^lag^