URTABLE: Stata module to perform ADF, DF-GLS, PP, and KPSS unit-root tests with data-driven lag/bandwidth selection

Y. Baris Altayligil ()
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Y. Baris Altayligil: Istanbul University, Department of Economics

Statistical Software Components from Boston College Department of Economics

Abstract: urtable reports four unit-root and stationarity tests on a single time series in one comparison table: the augmented Dickey-Fuller (ADF), the Elliott-Rothenberg-Stock GLS-detrended DF (DF-GLS) in three variants based on different lag-selection criteria, the Phillips-Perron (PP), and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test. All lag lengths and bandwidths are chosen data-driven. The output table includes critical values at 1%, 5%, and 10%, decision flags, and a one-sentence conclusion at the 5% level that aggregates the evidence across the four tests.

Language: Stata
Requires: Stata version 14
Keywords: unit root; ADF; DFGLS; PP; KPSS (search for similar items in EconPapers)
Date: 2026-05-22
Note: This module should be installed from within Stata by typing "ssc install urtable". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/u/urtable.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/u/urtable.sthlp help file (text/plain)

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