MVARDLURT: Stata module to perform Multivariate ARDL Unit Root Test with Bootstrap Critical Values

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: mvardlurt implements the multivariate ARDL unit root test proposed by Sam, McNown, Goh, and Goh (2024). This test augments the standard ADF regression with the lagged level of a covariate (independent variable) to improve power, especially when cointegration exists between the dependent and independent variables.

Language: Stata
Requires: Stata version 17
Keywords: ARDL; autoregressive; distributed lag; unit root test; bootstrap (search for similar items in EconPapers)
Date: 2026-02-25
Note: This module should be installed from within Stata by typing "ssc install mvardlurt". 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/m/mvardlurt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mvardlurt_bootstrap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mvardlurt_diagtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mvardlurt_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_mvardlurt_stars.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvardlurt_example.do sample do-file (text/plain)

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