CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: These routines perform the two-break unit root tests described by Clemente, Montañés, Reyes (1998) and the simpler one-break tests of Perron and Vogelsang (1992). They model both the additive outlier (AO) scheme and the innovational outlier (IO) schemes. These tests may be applied to single time series within panels with the if qualifier or the by prefix.

Language: Stata
Requires: Stata version 8.2
Keywords: unit root; structural break; additive outlier; innovational outlier (search for similar items in EconPapers)
Date: 2004-07-14, Revised 2005-02-12
Note: This module may be installed from within Stata by typing "ssc install clemao_io". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/clemao1.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemao1.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemao2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemao2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemio1.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemio1.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemio2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/clemio2.hlp help file (text/plain)

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