MINDF: Stata module to perform HLT unit root tests with up to three breaks in trend (Harvey, Leybourne and Taylor, 2013)

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: mindf computes the minimum Dickey-Fuller unit root tests of Harvey, Leybourne and Taylor (2013, Journal of Econometrics) allowing for up to three breaks in the linear trend. Trend breaks are permitted under both the unit root null and the trend-stationary alternative, so the tests remain valid when breaks occur in a unit root process. The ADF lag order is selected by the MAIC of Ng and Perron (2001) computed on OLS-detrended residuals, following Perron and Qu (2007).

Language: Stata
Requires: Stata version 14
Keywords: time series; structural breaks; unit roots (search for similar items in EconPapers)
Date: 2026-07-22
Note: This module should be installed from within Stata by typing "ssc install mindf". 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/m/mindf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mindf.sthlp help file (text/plain)

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