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Which Flavor of ADF Estimation Does Stata Use?
Which Flavor of ADF Estimation Does Stata Use?

Hey Everyone,

with WLS/ADF estimation there are different flavors out there that are being used in statistics software. It is rather easy to control the specific estimator in R but in Stata I have not found any information on the exact source/reference the ADF estimation is built off.

My key interest is whether it is the pure Browne formula or if any of the adjustments to make WLS more robust to small sample size have been implemented.

Thanks and best
Leon

BJ Data Tech Solution

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Which Flavor of ADF Estimation Does Stata Use?

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