Augmented Dickey-Fuller GLS
Augmented Dickey-Fuller with GLS detrending as specified by Elliott, Rothenberg, and Stock (1996).
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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 (2026). Augmented Dickey-Fuller GLS (https://www.mathworks.com/matlabcentral/fileexchange/81298-augmented-dickey-fuller-gls), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0 (2.35 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0 |
