XTREC: Stata module to implement Panel unit root test based on recursive detrending (Westerlund 2015)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtrec performs a panel unit root test based on recursively detrended data as proposed by Westerlund (2015, Journal of Econometrics). Two test statistics are available: t-REC: the baseline test assuming iid errors. Asymptotically distributed as N(0,1) under the null hypothesis of a unit root, regardless of the degree of the fitted trend polynomial. This invariance property is unique among all panel unit root tests and eliminates the need for any mean or variance correction factors. t-RREC: the robust version (invoked with the robust option) that accommodates serial correlation, cross-section dependence (via a common factor structure), and cross-section heteroskedasticity. Its null distribution is also N(0,1), and the invariance property extends to general trend functions beyond polynomials (including smooth transition shifts and trigonometric functions).

Language: Stata
Requires: Stata version 14
Keywords: time series; panel data; unit root test (search for similar items in EconPapers)
Date: 2026-03-04
Note: This module should be installed from within Stata by typing "ssc install xtrec". 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/x/xtrec.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtrec.sthlp help file (text/plain)

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