MIXI01: Stata module providing econometric methods for systems mixing I(0) and I(1) variables

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: mixi01 is a comprehensive Stata package for estimation and inference in time series systems that contain a mixture of I(1) (nonstationary, unit-root) and I(0) (stationary) variables. Higher orders of integration (I(2) and above) are out of scope; series that are I(2) should be first-differenced to I(1) before being used as inputs. The package implements the fully modified (FM) estimation framework of Phillips (1995) and Kitamura and Phillips (1997), the structural VAR methodology of Fisher, Huh and Pagan (2016) for systems with P0/T0/P1/T1 shock classifications, and the mixed VECM of Chen (2022). Standard cointegration methods typically require that all variables in a system share the same order of integration. In practice, macroeconomic systems routinely mix trending and stationary variables — output, prices and interest rates, for example. mixi01 provides a unified framework where the researcher does not need to pretest variables for unit roots, determine the dimension of the cointegration space, or separate I(1) from I(0) regressors before estimation.

Language: Stata
Requires: Stata version 14
Keywords: order of integration; statonarity; nonstationary (search for similar items in EconPapers)
Date: 2026-05-21
Note: This module should be installed from within Stata by typing "ssc install mixi01". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mixi01.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_acl.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmiv.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmols.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmvar.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_graph.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_irf.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_lrcov.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_svar.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_table.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_test.ado
http://fmwww.bc.edu/repec/bocode/m/mixi01_vecm.ado
http://fmwww.bc.edu/repec/bocode/_/_mixi01_mata.ado
http://fmwww.bc.edu/repec/bocode/_/_mixi01_mata.mata
http://fmwww.bc.edu/repec/bocode/m/mixi01.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_acl.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmiv.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmols.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_fmvar.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_irf.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_svar.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_test.sthlp
http://fmwww.bc.edu/repec/bocode/m/mixi01_vecm.sthlp

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