NARAYANP: Stata module to implement Narayan-Popp (2010) unit root test with two structural breaks

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: narayanp performs the Narayan and Popp (2010) Augmented Dickey-Fuller-type test for a unit root that allows for two structural breaks at unknown dates. The data-generating process is written as an unobserved-components model in which the breaks are modelled as innovational outliers, so that a break takes effect gradually rather than instantaneously (Narayan and Popp 2010, Eqs. 1-6). The test allows for breaks under both the unit-root null and the trend-stationary alternative, which reduces the spurious rejections that affect earlier ADF-type break tests. Two specifications are available, both for trending data: model M1 allows two breaks in the level, and model M2 allows two breaks in the level and in the slope. In both cases the test statistic is the t-ratio on the coefficient of y(t-1); the unit-root null is rho = 1.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; structural breaks (search for similar items in EconPapers)
Date: 2026-07-07
Note: This module should be installed from within Stata by typing "ssc install narayanp". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/n/narayanp.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/narayanp.sthlp help file (text/plain)

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