BOUNDEDUR: Stata module to perform unit root tests for bounded time series

Merwan Roudane ()
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Merwan Roudane: NA

Statistical Software Components from Boston College Department of Economics

Abstract: and Xu (2014, Journal of Econometrics 178: 259-272). The package provides both Augmented Dickey-Fuller (ADF) and M tests with simulation-based p-values that properly account for the effects of bounds on test statistics. Many economic and financial time series are inherently bounded—including interest rates, unemployment rates, capacity utilization rates, and target zone exchange rates. Conventional unit root tests produce unreliable results when applied to such series, as they do not account for the boundary effects.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; bounded time series (search for similar items in EconPapers)
Date: 2026-02-02
Note: This module should be installed from within Stata by typing "ssc install boundedur". 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/b/boundedur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/boundedur.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_boundedur_adf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_boundedur_m.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/boundedur_examples.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/boundedur_cert.do cert script (text/plain)

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