XTBUNITROOT: Stata module to perform unit root tests for panel data with structural breaks

Pengyu Chen () and Yiannis Karavias
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Pengyu Chen: University of Birmingham

Statistical Software Components from Boston College Department of Economics

Abstract: xtbunitroot performs panel unit root tests allowing for structural breaks, using the methodology developed by Karavias and Tzavalis (CSDA, 2014). These tests allow for one or two structural breaks in the deterministic components of the series and can be used in both fixed-T and large-T settings, where T is the number of time series observations in the sample. Two models of deterministic components are considered. The first model contains fixed effects only (intercepts) and the second model includes interecepts and linear trends. The dates of the breaks can be known or unknown. When the dates of the breaks are unknown, a bootstrap procedure is used to calculate the critical and p-values of the test. The errors can be nonnormal, cross-sectionally dependent and cross-sectionally heteroskedastic. The tests have power against both homogeneous and heterogeneous alternatives. The null hypothesis is that all series in the panel are unit root processes. The alternative is that some or all of the series are stationary, with breaks in the deterministic specification (intercepts and trends).

Language: Stata
Requires: Stata version 12
Keywords: unit root; panel data; structural breaks; Karavias; Tzavalis (search for similar items in EconPapers)
Date: 2021-06-04, Revised 2024-07-29
Note: This module should be installed from within Stata by typing "ssc install xtbunitroot". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/x/xtbunitroot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbunitroot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbunitroot_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtbunitroot_example.dta sample data file (application/x-stata)

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