PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Does the Perron-Rodriguez(2003) test for unit roots using GLS detrending, allowing for a break point at an unknown date. Perron and Rodriguez(2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.

Language: RATS
Requires: RATS 7.00
Keywords: Unit; root; tests; with; breaks (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/perronrodriguez.src (text/plain)

Related works:
Journal Article: GLS detrending, efficient unit root tests and structural change (2003)
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