QADF: Stata module to perform the Quantile Autoregression (QAR) unit root test proposed by Koenker and Xiao (JASA, 2004)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: The qadf package provides a comprehensive Stata implementation of the quantile unit root testing framework, offering significant advantages over standard ADF and Phillips-Perron tests, particularly for data with non-Gaussian disturbances and asymmetric persistence patterns.

Language: Stata
Requires: Stata version 14
Keywords: quantile; autoregression; unit root test (search for similar items in EconPapers)
Date: 2026-02-17
Note: This module should be installed from within Stata by typing "ssc install qadf". 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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