LSMLM: Stata module to perform Lee-Strazicich minimum LM unit root test with zero, one, or two breaks

Ibrahim Ongoren ()
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Ibrahim Ongoren: Pamukkale University, Denizli, Turkey

Statistical Software Components from Boston College Department of Economics

Abstract: lsmlm performs the Lee-Strazicich minimum LM unit root test with zero, one, or two endogenous structural breaks. Two deterministic models are available: crash (level shift) and break (level and trend shift); breaks(0) gives the Schmidt-Phillips no-break LM test. Critical values are interpolated over the sample size and, for the trend-break model, over the break fraction(s). The command runs on any tsset series and can be restricted to any sub-sample with if/in.

Language: Stata
Requires: Stata version 14
Keywords: unit root; structural break; Lee-Strazicich; LM test; Schmidt-Phillips (search for similar items in EconPapers)
Date: 2026-07-22
Note: This module should be installed from within Stata by typing "ssc install lsmlm". 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/l/lsmlm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lsmlm.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lsmlm_example.do
http://fmwww.bc.edu/repec/bocode/l/lsmlm_oecd15_analysis.do
http://fmwww.bc.edu/repec/bocode/l/lsmlm_oecd15.dta

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