KYPSHIFT: Stata module to test shifts between I(1) and I(0) regimes at unknown dates (Kejriwal-Yu-Perron 2020)

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: kypshift implements the wild bootstrap tests of Kejriwal, Yu, and Perron (2020, Journal of Time Series Analysis) for multiple shifts between I(1) and I(0) regimes, with the number of breaks and the break dates unknown, and with tests that remain valid under heteroskedasticity. The number and dates of the breaks are estimated by the sequential procedure of the paper, and the diagnostics of its Tables I and II are reproduced. The directional statistics of Kejriwal, Perron, and Zhou (2013, Econometric Theory), which identify whether the series starts in an I(1) or an I(0) regime, are also reported; the asympcv option adds their asymptotic critical values, the Bai-Perron critical values, and the hybrid decision of that paper.

Language: Stata
Requires: Stata version 16
Keywords: unit root tests; stationarity; break points (search for similar items in EconPapers)
Date: 2026-07-18
Note: This module should be installed from within Stata by typing "ssc install kypshift". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/k/kypshift.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kypshift.sthlp help file (text/plain)

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