XTLMBREAK: Stata module to provide Panel LM cointegration test with multiple structural breaks

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtlmbreak implements the panel LM test for the null hypothesis of cointegration proposed by Westerlund (2006), published in the Oxford Bulletin of Economics and Statistics. The test extends the McCoskey and Kao (1998) panel LM cointegration test to allow for multiple structural breaks in both the level and trend of the cointegrated panel regression.

Language: Stata
Requires: Stata version 14
Keywords: panel data; LM tests; cointegration; structural breaks (search for similar items in EconPapers)
Date: 2026-03-26
Note: This module should be installed from within Stata by typing "ssc install xtlmbreak". 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/xtlmbreak.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtlmbreak.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtlmbreak_engine.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtlmbreak_example.do sample do-file (text/plain)

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