FFRALS: Stata module to provide Flexible-Fourier LM unit-root test with RALS and factor (RALS2) augmentation for non-normal errors

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: ffrals implements the flexible-Fourier LM unit-root test of Lee, Islam, Tieslau, Payne and Nazlioglu, in which an unknown number of smooth structural breaks is approximated by a single Fourier frequency (chosen by minimum residual sum of squares over 1..fmax) and the score-based LM statistic is computed by augmented regression. With rals(1) the regression is augmented by the residual-augmented least squares (RALS) terms, which exploit non-normality of the errors to gain power without nuisance parameters. With rals(2) the regression is further augmented by supplied common and group factors() (the RALS2 factor test), making the test robust to cross-sectional dependence when applied series-by-series to a panel.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; Fourier; normality (search for similar items in EconPapers)
Date: 2026-07-26
Note: This module should be installed from within Stata by typing "ssc install ffrals". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/f/ffrals.ado
http://fmwww.bc.edu/repec/bocode/f/ffrals.sthlp
http://fmwww.bc.edu/repec/bocode/f/ffadf_example.do
http://fmwww.bc.edu/repec/bocode/f/ffadf.ado
http://fmwww.bc.edu/repec/bocode/f/ffadf.sthlp
http://fmwww.bc.edu/repec/bocode/f/fflm2_example.do
http://fmwww.bc.edu/repec/bocode/f/fflm2.ado
http://fmwww.bc.edu/repec/bocode/f/fflm2.sthlp
http://fmwww.bc.edu/repec/bocode/f/ffrals_example.do
http://fmwww.bc.edu/repec/bocode/f/ffrals_hub.sthlp
http://fmwww.bc.edu/repec/bocode/f/ffrals_methods.sthlp

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459818

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().