GARCHUR: Stata module to implement the trend-GARCH(1,1) unit root test with endogenous structural breaks

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: garchur implements the trend-GARCH(1,1) unit root test with endogenous structural breaks proposed by Narayan and Liu (2015, Energy Economics). The test is designed for trending time-series data -- particularly energy and commodity price series -- where conventional unit root tests lose power

Language: Stata
Requires: Stata version 14
Keywords: GARCH; unit root; structural breaks (search for similar items in EconPapers)
Date: 2026-02-20
Note: This module should be installed from within Stata by typing "ssc install garchur". 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/g/garchur.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/garchur.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/garchur_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_garchur_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/garchur_example.do sample do-file (text/plain)

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