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Feature Request: DF-GLS #235

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IljaK91 opened this issue Jun 1, 2021 · 0 comments

IljaK91 commented Jun 1, 2021

Hey everyone,

I think it would be great to also offer the Dickey-Fuller test using generalized least squares as in

Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. Efficient tests for an autoregressive unit root. Econometrica 64:813–836.

I might have the time this summer to implement it. Is there already an implementation of generalized least squares in Julia?

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