RALS: Stata module to perform Residual Augmented Least Squares unit-root and cointegration tests

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: The rals package implements every test in the {it:Residual Augmented Least Squares} family (Im & Schmidt 2008): the second- and third-moment information in the regression residuals is exploited to gain power whenever the errors are non-normal. The package collects nine commands covering both unit-root and cointegration testing, with optional Fourier deterministic components and structural breaks.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; residual augmented least squares; cointegration (search for similar items in EconPapers)
Date: 2026-05-16
Note: This module should be installed from within Stata by typing "ssc install rals". 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/r/rals.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rals.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsadf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsbattery.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralscoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsdiag.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfadf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfadl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfkss.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralslm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralslmb.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsadf.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsbattery.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralscoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsdiag.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfadf.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfadl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralsfkss.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralslm.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ralslmb.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_graph_fadf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_graph_ur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_mata.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_print_header.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_rals_print_two_row.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rals_demo.do sample do-file (text/plain)

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