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KSUR: Stata module to calculate Kapetanios & Shin unit root test statistic along with finite-sample critical values and p-values

Jesus Otero () and Jeremy Smith

Statistical Software Components from Boston College Department of Economics

Abstract: ksur computes Kapetanios & Shin KS (Ec.Let., 2008) GLS-detrending based unit root tests against the alternative of a globally stationary exponential smooth transition autoregressive (ESTAR) process. The command accommodates varname with nonzero mean and nonzero trend. Allowance is also made for the lag length to be either fixed (FIXED) or determined endogenously using information criteria such as Akaike and Schwarz, denoted AIC and SIC, respectively. A data-dependent procedure often known as the general-to-specific (GTS) algorithm is also permitted, using significance levels of 5 and 10%, denoted GTS05 and GTS10, respectively; see e.g. Hall (1994). Approximate p-values are also calculated. Both the finite-sample critical values and the p-value are estimated based on an extensive set of Monte Carlo simulations, summarised by means of response surface regressions; for more details see Otero and Smith (SJ, 2017).

Language: Stata
Requires: Stata version 13
Keywords: unit root test; ESTAR; Kapetianos; Shin (search for similar items in EconPapers)
Date: 2017-09-14, Revised 2018-01-27
Note: This module should be installed from within Stata by typing "ssc install ksur". Windows users should not attempt to download these files with a web browser.
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Handle: RePEc:boc:bocode:s458399