XTFLEXUR: Stata module to provide factor-augmented, break- and Fourier-robust panel time-series tests

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xtflexur is a library of second-generation panel unit root tests built on a common factor-extraction engine (the PANIC procedure of Bai and Ng), so that the tests are robust to strong cross-sectional dependence of an unknown form.

Language: Stata
Requires: Stata version 14
Keywords: panel data; unit root tests; structural breaks (search for similar items in EconPapers)
Date: 2026-07-23, Revised 2026-07-26
Note: This module should be installed from within Stata by typing "ssc install xtflexur". 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/x/xtflexur.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfpanic_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfpanic.ado
http://fmwww.bc.edu/repec/bocode/x/xtfpanic.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpanic_example.do
http://fmwww.bc.edu/repec/bocode/x/xtpanic_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpanic.ado
http://fmwww.bc.edu/repec/bocode/x/xtpanic.sthlp

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