DPTEST: Stata module to perform multiple unit root and cointegration tests for I(2) processes

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: dptest implements four complementary tests for determining the order of integration in time series and for testing cointegration when both I(1) and I(2) variables are present: 1) Dickey-Pantula (1987) sequential t* procedure for multiple unit roots 2) Hasza-Fuller (1979) joint F test (Phi statistics) for double unit roots 3) Haldrup (1994 JBES) semiparametric Z(F*) test for double unit roots 4) Haldrup (1994 JoE) residual-based cointegration ADF test with I(1) and I(2) variables

Language: Stata
Requires: Stata version 14
Keywords: unit root test; cointegration test; nonstationary processes (search for similar items in EconPapers)
Date: 2026-03-16
Note: This module should be installed from within Stata by typing "ssc install dptest". 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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dptest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dptest.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dptest_example.do sample do-file (text/plain)

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