MVARDLURT_MULTIVARIATE: Stata module to implement the multivariate ARDL unit root test proposed by Sam, McNown, Goh and Goh

Yusuf Toyin Yusuf ()
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Yusuf Toyin Yusuf: Kwara State University

Statistical Software Components from Boston College Department of Economics

Abstract: mvardlurt_multivariate implements the multivariate ARDL unit root test proposed by Sam, McNown, Goh and Goh (2024). This test extends the standard ADF regression by including lagged levels of multiple covariates to improve power, especially when cointegration exists.

Language: Stata
Requires: Stata version 14
Keywords: ARDL; unit root; cointegration (search for similar items in EconPapers)
Date: 2026-09-13
Note: This module should be installed from within Stata by typing "ssc install mvardlurt_multivariate". 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/m/mvardlurt_multivariate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt_multivariate_bootstrap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt_multivariate_diag.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt_multivariate_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt_multivariate.sthlp help file (text/plain)

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