XTGUNITROOT: Stata module providing generalized fixed-T panel unit root test (doubly modified estimator)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtgunitroot implements the generalized fixed-T panel unit root test of Karavias and Tzavalis (2019), based on the {it:doubly modified estimator} (DME). Unlike the simpler fixed-T tests, the DME is robust to short-term serial correlation of unspecified form (up to order maxlag), heteroscedasticity and error cross-section heterogeneity, a common structural break at a known or unknown date, while remaining valid for a large number of cross-section units N and a small, fixed number of time periods T, and invariant to the initial condition.

Language: Stata
Requires: Stata version 14
Keywords: panel data; panel unit root (search for similar items in EconPapers)
Date: 2026-06-29
Note: This module should be installed from within Stata by typing "ssc install xtgunitroot". 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/xtgunitroot.ado
http://fmwww.bc.edu/repec/bocode/x/xtgunitroot.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtgunitroot_example.do

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:s459774

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 ().