XTPQROOT: Stata module to provide Panel Quantile Unit Root Tests with Common Shocks & Structural Breaks

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtpqroot implements two novel panel unit root tests designed for panel data with cross-sectional dependence (CSD): 1) CIPS(tau) Test: Quantile panel unit root test with common shocks, proposed by Yang, Wei & Cai (2022, Economics Letters). It extends Pesaran's (2007) CIPS test to a quantile regression framework, allowing the analysis of asymmetric persistence across different quantiles of the conditional distribution. While the standard CIPS test assesses the mean persistence, CIPS(tau) can detect, for example, whether a series is more persistent in extreme quantiles than in the center. Implementation follows Nazlioglu, Tarakci, Karul & Erdem (2026, NAJEF). 2) tFR Test: Panel unit root test with smooth and sharp structural breaks, proposed by Corakci & Omay (2023, Renewable Energy). It combines the fractional Fourier function (for smooth, gradual breaks) with the logistic smooth transition (LST) function (for sharp, abrupt breaks). This allows the test to capture {bf:both types of structural change simultaneously}. Cross-sectional dependence is corrected via the sieve bootstrap procedure of Chang (2004).

Language: Stata version 15.1
Requires: Stata version 14
Keywords: time series; panel data; quantile; unit root; Common Shocks; Structural Breaks (search for similar items in EconPapers)
Date: 2026-02-28
Note: This module should be installed from within Stata by typing "ssc install xtpqroot". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtpqroot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqroot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpqroot_cips.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpqroot_fourier.ado program code (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459625

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().