Hi,
Just wondering if there's any way I can carry out the KSS unit root test on eviews or if there's any other programme anyone knows of that is capable of carrying out the test?
Thanks
The software E-views can give you the unit root after export data or entire your data.
There is no built-in procedure for KSS unit root test in EVIEWS, but you can still do it with some extra steps whether you use EVIEWS or not.
1. In EVIEWS, estimate:
"D(Y) (Y^3) Y(-1) Y(-2) Y(-3) Y(-4) ..."
Which produce the following output: "D(Y(t)) = b*(Y(t)^3) + b*(Y(t-1)) + b*(Y(t-2)) + b*(Y(t-3)) + b*(Y(t-4)) + ..."
Use AIC to define how many lags you need in your model, i.e., you will use the number of lag which minimize the criterion.
You can start with one lag and then add 1 more lags or you can start, say, with 12 lags and then eliminate 1 lag .
2. Take b and compare it with with the table provided in KSS(2003).
http://forums.eviews.com/viewtopic.php?t=1283
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Alternatively, there is a module in STATA named "kassur".
Dear Kathiravan, just like Nip Nip has pointed out, there is currently no built in procedure for implementing KSS unit root, not even an add-in for such test. If you're very familiar with eviews, I recommend you follow the steps outlined by Nip Nip to get the value of b* parameter and with the table in KSS (2003).
I think one should estimate the following equation
Dy(t) = a*y(t)^3 + b*Dy(t-1) + c*Dy(t-2) + .... + error(t)
instead of
Dy(t) = a*y(t)^3 + b*y(t-1) + c*y(t-2) + .... + error(t)
Equation (14) in KSS(2003) at least advises that. This is also in line with the ADF test. The new addition here is "a*y(t)^3". Also, as suggested in the KSS(2003), we should compare the critical values with CASE 2 in Table 1.
I have gone through your answers but I'm not clear on how to go about it.
If I want to use eviews, how do I estimate the equation? Will I estimate it as an OLS estimate?
Dear Samson Agboola, please how do I use R software for KS and KSS analysis?
Best regards!
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