sts16 Tests for long memory in a time series

Acknowledgments I acknowledge useful conversations with Serena Ng, James Stock, and Vince Wiggins. The KPSS code was adapted from John Barkoulas’ RATS code for that test. Thanks also to Richard Sperling for tracking down a discrepancy between published work and the dfgls output and alerting me to the Cheung and Lai estimates. Any remaining errors are my own. References Cheung, Y. W. and K.-S. Lai. 1995. Lag order and critical values of a modified Dickey–Fuller test. Oxford Bulletin of Economics and Statistics 57: 411–419. Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. Efficient tests for an autoregressive unit root. Econometrica 64: 813–836. Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin. 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics 54: 159–178. Lee, D. and P. Schmidt. 1996. On the power of the KPSS test of stationarity against fractionally-integrated alternatives. Journal of Econometrics 73: 285–302. Ng, S. and P. Perron. 1995. Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90: 268–281. Schwert, G. W. 1989. Tests for unit roots: A Monte Carlo investigation. Journal of Business and Economic Statistics 7: 147–160. Stock, J. H. 1994. Unit roots, structural breaks and trends. In Handbook of Econometrics IV, ed. R. F. Engle and D. L. McFadden. Amsterdam: Elsevier.