XTPDROOT: Stata module to perform second-generation panel unit-root and stationarity tests robust to cross-sectional dependence

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: xtpdroot collects panel unit-root and stationarity tests that control for cross-sectional dependence through common factors (the PANIC approach) and, where relevant, structural breaks. Commands read the panel from xtset, return everything in r(), and ship cross-linked help with a companion methods page. It complements xtflexur (factor-based panel unit-root tests) and flexur (single-series tests).

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; panel data; cross-sectional dependence (search for similar items in EconPapers)
Date: 2026-07-26
Note: This module should be installed from within Stata by typing "ssc install xtpdroot". 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/xtbreaklm_example.do
http://fmwww.bc.edu/repec/bocode/x/xtbreaklm_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtbreaklm.ado
http://fmwww.bc.edu/repec/bocode/x/xtbreaklm.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfaclm_example.do
http://fmwww.bc.edu/repec/bocode/x/xtfaclm_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtfaclm.ado
http://fmwww.bc.edu/repec/bocode/x/xtfaclm.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpanicsb_example.do
http://fmwww.bc.edu/repec/bocode/x/xtpanicsb_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpanicsb.ado
http://fmwww.bc.edu/repec/bocode/x/xtpanicsb.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpdcause_example.do
http://fmwww.bc.edu/repec/bocode/x/xtpdcause_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpdcause.ado
http://fmwww.bc.edu/repec/bocode/x/xtpdcause.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpdroot.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpstat_example.do
http://fmwww.bc.edu/repec/bocode/x/xtpstat_methods.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtpstat.ado
http://fmwww.bc.edu/repec/bocode/x/xtpstat.sthlp

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