KMTEST: Stata module to perform Tests of Linear and Logarithmic Transformations for Integrated Processes

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: The kmtest package implements the non-nested tests developed by Kobayashi and McAleer (Econometric Reviews, 1999) for determining whether a time series should be modeled in levels (linear transformation) or in logarithms (logarithmic transformation) when the series is integrated of order one, I(1).

Language: Stata
Requires: Stata version 14
Keywords: unit root; integrated process; data transformation; logarithmic transformation; non-nested test; heteroscedasticity; time series; I(1) process; random walk; Brownian motion (search for similar items in EconPapers)
Date: 2025-12-23
Note: This module should be installed from within Stata by typing "ssc install kmtest". 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/k/kmtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kmtest.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kmtest_cv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kmtest_power.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kmtest_sim.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kmtest_sim.sthlp help file (text/plain)

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