KPERRONY: Stata module to determine the number and dates of structural breaks in cointegrated equations, with regime-wise estimates and stability tests

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: kperrony determines the number and dates of structural breaks in cointegrated equations (Kejriwal & Perron, 2010; Kejriwal, Perron & Yu, 2021). It reports the estimated break dates, regime-wise coefficient estimates with HAC standard errors, the Kejriwal-Perron-Yu (2021) two-step partial stability test for each coefficient, and the Arai-Kurozumi (2007) test of the null of cointegration at the estimated breaks, with simulated critical values. Serially correlated errors are handled through the robust versions of the tests, and endogenous I(1) regressors through the dynamic OLS leads and lags, both added automatically. Critical values are embedded for up to five breaks with 15 percent trimming.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; cointegration; structural breaks (search for similar items in EconPapers)
Date: 2026-07-18
Note: This module should be installed from within Stata by typing "ssc install kperrony". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/k/kperrony.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kperrony.sthlp help file (text/plain)

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