LASSOUR: Stata module to perform adaptive Lasso activation knot unit root tests with sieve wild bootstrap

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: lassour tests the unit root null against stationarity using the adaptive Lasso activation knot statistics tau and tauIE of Arnold and Reinschluessel (2024, arXiv:2404.06205) and their sieve wild bootstrap analogues of Arnold and Reinschluessel (2026, arXiv:2409.07859).

Language: Stata
Requires: Stata version 14
Keywords: unit root; adaptive lasso (search for similar items in EconPapers)
Date: 2026-10-18
Note: This module should be installed from within Stata by typing "ssc install lassour". 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/l/lassour.ado
http://fmwww.bc.edu/repec/bocode/l/lassour.sthlp
http://fmwww.bc.edu/repec/bocode/l/lassour_example.do
http://fmwww.bc.edu/repec/bocode/l/lassour_mata.do
http://fmwww.bc.edu/repec/bocode/l/lassour_methods.sthlp
http://fmwww.bc.edu/repec/bocode/l/llassour.mlib

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