BOUNDEDUROOT: Stata module to perform unit-root and level-shift tests for bounded time series

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: boundeduroot is a library of unit-root and level-shift tests for bounded time series - series confined to an interval either by construction or by policy (unemployment rates, budget shares, nominal interest rates, capacity-utilisation rates, target-zone exchange rates). It is the structural-break companion to the base command boundedur, which implements the Cavaliere & Xu (2014) simulation-based ADF and M tests. Where boundedur handles the no-break case, boundeduroot adds GLS detrending, structural breaks in the mean, and multiple level-shift detection, each with bound-specific critical values obtained by simulating a regulated (reflected) Brownian motion.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; level shift; structural breaks (search for similar items in EconPapers)
Date: 2026-07-07
Note: This module should be installed from within Stata by typing "ssc install boundeduroot". 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/b/boundeduroot.ado
http://fmwww.bc.edu/repec/bocode/b/boundeduroot.sthlp
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_breaks.ado
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_breaks.sthlp
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_examples.do
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_hlt.ado
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_hlt.sthlp
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_mtests.ado
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_mtests.sthlp
http://fmwww.bc.edu/repec/bocode/b/boundeduroot_selftest.do

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