CKPTEST: Stata module to implement unit root tests up to five unknown break points

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: ckptest implements the unit root tests of Carrion-i-Silvestre, Kim, and Perron (2009, Econometric Theory) up to 5 unknown break points. Seven statistics are reported (PT, MPT, ADF, ZA, MZA, MSB, MZT), with critical values. The Perron-Yabu (2009, JBES) pretest for a break in trend is run and reported by default before the unit root tests, following the procedure of the paper (. As an original contribution of the package, ckptest introduces a general-to-specific lag selection algorithm that selects the lag order of the spectral AR regression by controlling residual serial correlation with the Breusch-Godfrey test, in addition to MAIC (the default) and BIC, and reports a Breusch-Godfrey diagnostic for every method.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; structural breaks (search for similar items in EconPapers)
Date: 2026-07-08
Note: This module should be installed from within Stata by typing "ssc install ckptest". 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/c/ckptest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/ckptest.sthlp help file (text/plain)

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