LUMPAPELL: Stata module to perform Lumsdaine-Papell unit root test allowing for two unknown breaks

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: lumpapell implements the Lumsdaine-Papell unit root test, allowing for two breaks in the intercept, the trend or both at unknown locations (Lumsdaine & Papell, Review of Economics and Statistics, 1997). Four break specifications are available. Model AA lets both breaks shift the intercept; model CC lets each break shift both the intercept and the slope; model CA is the mixed case, in which the first break shifts the intercept and the slope and the second shifts the intercept only; and finally the break(trend) specification, which the article does not consider, lets each break shift the slope only. Lag lengths can be fixed or selected by information criteria or by the sequential t-test of Perron (1989). The command also writes the break dummies to the dataset and prints a plain regress command that reproduces the break regression.

Language: Stata
Requires: Stata version 11
Keywords: unit root tests; structural breaks (search for similar items in EconPapers)
Date: 2026-08-20
Note: This module should be installed from within Stata by typing "ssc install lumpapell". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lumpapell.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lumpapell.sthlp help file (text/plain)

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:s459856

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 ().